标题: schweser practice exam 1 pm q 17 -- VAR [打印本页] 作者: malbec 时间: 2013-4-10 23:58 标题: schweser practice exam 1 pm q 17 -- VAR
Hi,
the stataement from Mcquire about VAR q 17-2. Here’s his stmt to a questions about “What does a daily 5% VAR of 5 mill mean” He replies..”VAR is a measure that combines probabilities over a certain time horizon with dollar amounts, which in your case means that one expects to lose a min of 5mill 5 trading days out of every 100”
I thought daily 5% VAR of 5 mill meant either 95% chance youll lose less than 5 million in a day or 5% chance youll lose more than 5 million. Wouldnt your VAR be higher over 100 days?
Thanks作者: infinitybenzo 时间: 2013-4-10 23:59
so then I guess they mean, lose at least 5 mill in 5 out of 100 trading days?
What about the part in Schweser where they talk about adapting daily VAR to diff units of time, ie monthly, yearly etc..The question threw me off…I looked at it with respect to 100 days, so could you say that theres a 5% chance thay youd lose at least 25 mill over 100 trading days? (5 mill x 5 days?)
thanks
