Skip to content

To go from a yearly VAR to a monthly VAR you must:

February 18, 2018
  1. Divide expected monthly return by 12.
  2. Divided expected monthly standard deviation by √12
  3. Then calculate VAR as: Expected Return – n(standard deviation)

with n being 1.65 for a 5% VAR and n being 2.33 for a 1% VAR.

 

Leave a Comment

Leave a comment

This site uses Akismet to reduce spam. Learn how your comment data is processed.