Daily VAR - 【CFA学习交流讨论】 - CFA论坛

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发表于 2011-7-11 19:14 | 显示全部帖子

you use 250 days for the year

daily return = 9.55% / 250 = .0382%

daily std dev = 14.87% / 250^1/2 = .9405%

daily VaR at 5% = .0382% - 1.65(.9405%) = -1.5136%

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