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Hassan2016

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Joined: Oct 14, 2015

Last seen: Dec 4, 2022

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H
Hassan2016

Oct 4, 2019

Kindly advise how many observations need to calculate daily VaR?

M

Matthew Graves

Completely depends on what you're trying to achieve. You can calculate Daily VaR with as few as 30 days worth but obviously this will not be particularly stable over time. If you want a more long term, stable value I would suggest a years worth or 252 business days.

Oct 8, 2019

1

H

Hassan2016

Thanks Matthew, Can I go longer than 1 year?

Oct 10, 2019

M

Matthew Graves

Of course.

Oct 10, 2019

1
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H
Hassan2016

Oct 3, 2019

Hi Dears, I need to calculate Daily VaR (historical) how many days should I go back to get historical data?

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Hassan2016

@David Bionic

Oct 4, 2019
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H
Hassan2016

Mar 14, 2017

Hi all. How can I calculate the ES using the excel? I am already having a VaR model, Do I need to make some changes to calculate the ES?
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H
Hassan2016

Jan 18, 2016

i need to backtest the VAR
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H
Hassan2016

Jan 18, 2016

looking for a model to use and implement.
H

H
Hassan2016

Jan 15, 2016

Hi all, can you support me with a back test model?
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