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In this presentation https://www.academia.edu/attachments/37039957/download_file?st=MTQyNjgyNTAxNCwyMDIuMTc0LjE3MC4xNjIsMTIyMTAxMg%3D%3D&s=work_strip I show the feasible bounds for the modified VaR calculation and provide a small test to show when it is outside those bounds.


Statistics is about comparing like with like to come up with a conclusion. First thing in any analysis is to demean the data. After demeaning, absolute VaR may still be less than the mean return, but if the mean is a fat risk premium which you might not achieve - that can be serious also. Lastly, VaR figures are only as good as their backtest. If they ...

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