I'm calculating VaR numbers from historical data for a single instrument (it's plain vanilla, not a derivative) and receive such variables:
I could provide necessary data, and formulas but I guess anyone on QF understands what is historical VaR and how it's calculated
- Standart Dev:
- Norm Dist 1%:
- Last Price:
- VaR T+1:
325,671 / 28,556 / 8.06%
The only problem that when I'm trying to use it for calculation VaR for 365 days forward (or any long term period) I receive figures that seems a bit irrelevant.
So is it «fine» to calculate VaR for such long period? And if
no what should I do to receive relevant-risk-data for my instrument? cVaR? Monte-Carlo VaR modeling?
By the way, I'm looking for a practice usage advice, not academic answer.