Tag Info

New answers tagged

0

You need to take in to account the variation in return ( i.e. standard deviation) of the returns to get the VaR. Alternatively,you can simulate the total return using Excel as well and find the VaR accordingly.


1

A risk measure $\rho$ applied to time series $X \in \mathbb{R^n}$ yields $Y \in \mathbb{R} $. i.e. $\rho: \mathbb{R^n} \rightarrow \mathbb{R}$ As for implementation (using R), see here. A look at the formulas for VAR and ES (which is exactly the same as CVAR) should clear up any confusion.



Top 50 recent answers are included