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I'm trying to find the VaR using historical stimulation where values are ranked from worst to best.
In my simulation I'm supposed to calcuate a 20% confidence interval. My simulation is over a 10 week period which I believe I should find the 10*(1-.2) = 8th worst rank of the 10. The problem I have is that the returns for the 8th rank is positive. Does this mean that my VaR is 0?
Here's a basic snapshot
Returns
Stock X Stock Y
8th rank 5% 8%
As you can see both returns are positive, so what would the VaR be?
(This is a class room example not based on real world)
In my simulation I'm supposed to calcuate a 20% confidence interval. My simulation is over a 10 week period which I believe I should find the 10*(1-.2) = 8th worst rank of the 10. The problem I have is that the returns for the 8th rank is positive. Does this mean that my VaR is 0?
Here's a basic snapshot
Returns
Stock X Stock Y
8th rank 5% 8%
As you can see both returns are positive, so what would the VaR be?
(This is a class room example not based on real world)
VaR using historic simulation where nth rank is positive?
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