标题: Value at Risk [打印本页] 作者: Howd 时间: 2011-7-13 16:49 标题: Value at Risk
I just want to check whether:
(a) the CBOK requires; and
(b) the curriculum provides the method and assumptions for;
the calculation of 10 per cent yearly VAR of a particular risk exposure given data on 1 per cent daily VAR of that risk exposure. I am unable to find anything in the curriculum so far.
Edited 1 time(s). Last edit at Thursday, June 9, 2011 at 08:08AM by stevenevans.作者: liangfeng 时间: 2011-7-13 16:49
Yes, it does.
Take the daily data and turn that into annual, bing bang boom. Daily st dev x sqrt 250作者: bodhisattva 时间: 2011-7-13 16:49
I dont think they had any example similar to this...i would say this is pretty tricky作者: oneboy 时间: 2011-7-13 16:49
kh.asif Wrote:
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> I dont think they had any example similar to
> this...i would say this is pretty tricky
Exactly -- although I get the logic, I don't think its intuitive. And where does it say about the mean reverting value? The curriculum has no examples or sample questions or blue box examples on anything similar. Quite tricky.作者: liangfeng 时间: 2011-7-13 16:49
cpk123 Wrote:
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> level of significance only affects the number used
> - 1.645 vs. 1.96 vs. 2.33
>
> an assumption they mention in the curriculum is
> that if expected return had a mean reverting value
> of 0 - you could just do it with the std.
> deviation.
>
> daily return std deviation = x
> annual return std deviation = x*sqrt(250).
>
> as blanders above has stated.
+2 Not tricky.作者: Valores 时间: 2011-7-13 16:49
Ok. My question to you guys saying its not tricky is -- are you'll drawing from you from the CBOK or practical experience or elsewhere? I studied the curriculum, did samples, mocks and what not -- but haven't come across a question like this at all.作者: Analyze_This 时间: 2011-7-13 16:49
it is a read between the lines thing in the curriculum on a particular left hand side page...
that is all I remember ... can look it up later when I have the textbook to provide with the reference. where it talks about the mean reverting value of 0, and also goes on to state in no uncertain terms that using a mean value of 0 - is a more CONSERVATIVE VAR estimate -- since when you use a non-zero value - your VAR value will be a lower number.
e.g. say mean = 10, stddev = 10, and 1% var
10 - 10(2.33) = -13.33 --> VAR of 13.33
if mean = 0 --> VAR = 23.33 -- so you are more conservative
CP作者: Zestt 时间: 2011-7-13 16:49
Well! If its in the schweser I should go bury myself.作者: pennyless 时间: 2011-7-13 16:49
good thing that my common sense clicked worked in the exam...i guess all those school years where I checked the answer first and calculated backwards to do the math did help after all..作者: lcai 时间: 2011-7-13 16:49
don't forget to multiply by the value of the portfolio in your VaR calculation.作者: Analti_Calte 时间: 2011-7-13 16:49
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.作者: mcmc 时间: 2011-7-13 16:49
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.作者: Chuckrox 时间: 2011-7-13 16:49
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.
