Analyze_This

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