Online Resource
[S.l.] : SSRN
Format:
1 Online-Ressource (9 p)
Content:
Many practitioners annualize VaR just like the standard deviation. We show that this approach is incorrect, and a more sophisticated formula should be used for deriving a periodic VaR from parameters of the daily returns distribution. Another problem addressed here is the distribution of daily and periodic returns and its effect on VaR. While a fat-tailed distribution is more appropriate for modeling daily returns, we show that using the log-normal distribution is still a reasonable choice for modeling periodic returns and calculating a periodic VaR for holding periods of one month and longer
Note:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 7, 2011 erstellt
Language:
English
DOI:
10.2139/ssrn.1976213
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