标题: Corr and Return effect on VaR [打印本页] 作者: jbaldyga 时间: 2011-7-13 14:18 标题: Corr and Return effect on VaR
Can someone touch on the effects that increasing correlation and increasing expected return have on the VaR? I believe in the EOC in that section, a question is asked on this and it's stated that increasing return lowers the VaR, while increasing correlation (thus increasing std dev) increases VaR. This does this seem counter-intuitive to how the VaR formula is structured: VAR= {R - (z-score)(std dev)} -> wouldn't increasing the return in the formula increase the VaR?
Thx作者: wake2000 时间: 2011-7-13 14:18
var is loss -
return is positive + more return offset loss VAR -作者: Windjammer 时间: 2011-7-13 14:18
the z-score and std dev are larger than the R.. so VAR becomes negative. If R is larger, it gets less negative.
