I was listening to a podcast and this guy mentioned the following (literally):

The entire group is probably running 800 million at risk. So I'm going to say like call that like a, if you think of risk as the 1% tail risk you said may 250 million standard deviation, so it's probably somewhere around like a two and a half to $3 billion hedge fund running at 10% volatility.

So, I am trying to work backwards from 3 billion number to understand their thinking. If you have a 3 bn dollar fund, given 10% vol your 99% VaR is going to be 3*0.1*2.33, assuming normal distribution ~700 million dollar risk. Is this correct? What is going on here?

  • 1
    $\begingroup$ Sounds like he was being approximate. I think your calc is correct. $\endgroup$
    – TickaJules
    Jan 6 at 22:26


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