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R
GARP.2010.PQ.P2 Questions about Long Short VaR (garp10-p2-17)
Thank you, David. It is very helpful!- rex.w.chow
- Post #8
- Forum: P1.T4. Valuation & Risk Models (30%)
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R
GARP.2010.PQ.P2 Questions about Long Short VaR (garp10-p2-17)
Hi David, I am a bit confused. I still could not understand the solution. I thought the formula would be VaR=+-(mean-Z_99%*Std.dev.)*S. So I put the mean of A, B into the calculation and could not work out an answer. May I ask why the mean return here can be ignored? Cheers, Rex- rex.w.chow
- Post #6
- Forum: P1.T4. Valuation & Risk Models (30%)