Richard

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bio	website	researchgate.net/profile/…
	location	Vienna
	age	31
visits	member for	11 months
	seen	May 14 at 7:53
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Risk Manager at Raiffeisen Capital Management

External Lecturer at Vienna University of Technology

	1,344 reputation	bio	website	researchgate.net/profile/…	visits	member for	11 months
113 badges		location	Vienna		seen	May 14 at 7:53

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Sep 25	comment	What does this formula (to derive annualized volatility from VaR) mean? @Sloucher If my answer helped you then you could mark it as accepted.
Sep 25	comment	What does this formula (to derive annualized volatility from VaR) mean? This can furthermore be simplified to $$\sigma = \frac{-q+\sqrt{q^2 + 2 r T + 2 VaR}}{\sqrt{T}}. $$
Sep 25	comment	What does this formula (to derive annualized volatility from VaR) mean? I applied the formula for the quadrativ equation. It has 2 solutions but only one is positive. If I didn't make any mistake then $$\sigma = \frac{-q \sqrt{T} + \sqrt{q^2 T+2 rT^2 + 2 T VaR}}{T}, $$ where $q= 2.33$ or any other quantile, $VaR$ is clear and $r$ is the risk free rate.
Sep 24	accepted	Modelling VIX Futures for risk management
Sep 23	comment	What does this formula (to derive annualized volatility from VaR) mean? Concerning b) Either you use a solver and solve for $\sigma$ or you use the formula for finding a root of a quadratic polynomial (in $\sigma$). You just need to find the correct coefficients and apply this.
Sep 23	comment	What does this formula (to derive annualized volatility from VaR) mean? To your a) this is the risk free rate for the holding period that your VaR has. E.g. if you have the 20 days VaR then this should be your 20 days (i.e. 1 month) risk free rate - one number for this one time period. The phrase which you quote is strange ... and I find in in the ESM text too. Nevertheless I am of the opinion that this is one number on a given day.
Sep 23	comment	Discrete returns versus log returns of assets By the way: I will use log returns from now on ... and go back to discrete returns when necessary (telling people profit and loss, calculating portfolio returns from asset returns and so on).
Sep 23	comment	Discrete returns versus log returns of assets @John thank you for the comment. I have not realized these issues although dealing with this for years now. If you make it an answer then I will accept it. Thanks again.
Sep 20	comment	Discrete returns versus log returns of assets @ John What do you mean by 'approximately invariant'? And how/why can you estimate distributions more easily? Can't we fit distributions for both kinds of returns?
Sep 20	asked	Discrete returns versus log returns of assets
Sep 20	comment	Modelling VIX Futures for risk management Thanks for your comment, @Brian B. I thought about using the VIX as proxy close to maturity because after all the futures settles against VIX (although trading stops the night before and the futures settles against some kind of opening price on the next day, details can be found on the CBOE website). But, yes, I don't see good results in doing this. I should stick to the constant maturity data and leave VIX spot out of the game.
Sep 20	comment	Modelling VIX Futures for risk management I have checked data and the historical approach seems to work - but one has to use constant maturity indices with the maturity matching the maturity of the futures (approximately). This seems to work fine. I just wonder what to do in the last days of the life of the futures. The convergence to the VIX spot seems to be quite slow on a price basis and does not happen on a return basis.
Sep 20	comment	What does this formula (to derive annualized volatility from VaR) mean? In the ESMA publication above VaR is calculated using weekly data. Then $T=4$ for a monthly (e.g. $20$ days) VaR and then you see the scaling by $\sqrt{52}$ because the year has $52$ weeks-
Sep 20	revised	What does this formula (to derive annualized volatility from VaR) mean? added 157 characters in body
Sep 20	comment	What does this formula (to derive annualized volatility from VaR) mean? Reading it again I see that there is a mix up. In your screenshot and in my answer. The best is if you read the correct formula in The Esma publication on page 14.
Sep 20	answered	What does this formula (to derive annualized volatility from VaR) mean?
Sep 19	comment	Modelling VIX Futures for risk management Thanks for your answer. What I meant with equity index futures was the cost of carry pricing. This is certainly wrong for VIX futures. The reason is that $VIX^2$ is a portfolio of options but $VIX$ ist the square root of that portfolio. So the pricing logic of equity index futures does not apply.
Sep 18	accepted	Benfords law and quantitative finance
Sep 18	comment	Benfords law and quantitative finance apparantly there is no useful application of Benford to quant.finance - so I accept your answer. Thanks for the efforts.
Sep 18	comment	Modelling VIX Futures for risk management I have only seen VIX-Futures modelled like equity index futures in commercial risk models. This is certainly wrong as it neglects the term strucutre of implied varianze/volatility. Have you ever seen a commercial model doing something better?