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1
vote
1answer
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How to interpret/use VaR and Standard Deviation?
The parametric VaR is defined as follows:
$$VaR=Z_a*Vol$$
Is this the best way to interpret how much risk is being taken on for a particular asset?
How does one interpret volatility on its own if ...
7
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3answers
267 views
How does Cornish-Fisher VaR (aka modified VaR) scale with time?
I am thinking about the time-scaling of Cornish-Fisher VaR (see e.g. page 130 here for the formula).
It involves the skewness and the excess-kurtosis of returns. The formula is clear and well ...
