Tagged Questions
3
votes
1answer
163 views
Calculating portfolio VaR for (custom) leveraged products
I have been searching online for a few days regarding how to calculate portfolio VaR for a portfolio consisting of leveraged products - but so far, I have not been able to come up with anything ...
6
votes
1answer
222 views
Which is a more appropriate choice of risk measurement in a utility function, CVaR or VaR?
What is the consensus on which risk measure to use in measuring portfolio risk? I am researching what is the best risk measure to use in a portfolio construction process for a long/short option-free ...
5
votes
3answers
99 views
Which lags or percentiles should be run in a batch when calculating Value-at-Risk?
Are there any "standard" VaR calculations run in a batch?
For example, testing a VaR calculation with a lag of 1,2, 5 or 10 days over 2 years?
Same question for the percentile, 1%, 2.5%, 5% etc.
