Analti_Calte

The Z-score doesn't change depending on timing of returns (e.g. annual, monthly, daily, etc...) because the z-score is a standardized number that tells the number of standard deviations away from the mean you would expect to go given a specific confidence level.

Remeber the z-score assumes a normal distribution which means it assumes that regardless of what information you are evaluating that it can be described by the normal curve. Changing a z-score would mean you are no longer consistent with a normal distribution.

mcmc

250 trading days in a year, 10 days in two weeks so the latter if you are computing 2 week VaR from one year VaR.

Chuckrox

Please feel free to add more salt to my wounds



Edited 1 time(s). Last edit at Thursday, June 9, 2011 at 08:03PM by stevenevans.