Timeline for The VaR of a portfolio with Student t returns
Current License: CC BY-SA 4.0
5 events
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| Feb 25, 2019 at 22:56 | comment | added | suntoto | Thank you so much! I have a further question: If I were going to find the VaR using Monte Carlo simulation, say 10000 samples, I come up with two available approaches: The first one is to generation 10000 pairs of correlated normal ramdom numbers using cholesky factorization, then I can get the return of each paired sample (10000 samples in total) and calculate quantile. The second is to find the volatility of the portfolio first (as what you did above), then generate 10000 single sample and calcualte quantile. Will these two approaches get to the same result? | |
| Feb 25, 2019 at 21:46 | comment | added | AlRacoon | @ Richard I just assumed the variance-covariance matrix accounted for the degrees of freedom. I guess one could adjust these tor account for the degrees of freedom via your formula. | |
| Feb 25, 2019 at 20:59 | comment | added | Richi Wa | I did not check the calculation but did you consider in your answer that the variance of a standard student-t is not 1 but $\frac{n}{n-2}$ where $n$ is the degrees of freedom? for small $n$ this matters. | |
| Feb 25, 2019 at 19:19 | history | edited | AlRacoon | CC BY-SA 4.0 |
added 125 characters in body
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| Feb 25, 2019 at 17:39 | history | answered | AlRacoon | CC BY-SA 4.0 |