Skip to content

Value At Risk (summation)

April 1, 2017

A VAR statistic had 3 components:

  1. a time period
  2. a confidence interval
  3. a loss amount (or loss percentage)

There are 3 ways to calculate it:

  1. Historical Method using a histogram
  2. Variance-Covariance Method assumes normal distribution
  3. Monte Carlo Simulation

Worst case is worse than VAR confidence interval predicts.

Advertisements
One Comment

Trackbacks & Pingbacks

  1. Another CFA® Exam is Finished – Muskblog

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out / Change )

Twitter picture

You are commenting using your Twitter account. Log Out / Change )

Facebook photo

You are commenting using your Facebook account. Log Out / Change )

Google+ photo

You are commenting using your Google+ account. Log Out / Change )

Connecting to %s

%d bloggers like this: