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YouTube T4-01: Three approaches to value at risk (VaR) and volatility
Thank you for such a detailed reply David. You have always been helpful.- Anirudhda77
- Post #7
- Forum: P1.T4. Valuation & Risk Models
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YouTube T4-01: Three approaches to value at risk (VaR) and volatility
Hello David. I calculated VaR and ES by ranking the losses and gains and then cutting a 5% percentile to calculate VaR. And another time I used the exactly same data, calculated the mean return and SD and z-value and calculated VaR. The two answers were very different. Is it normal? If yes...- Anirudhda77
- Post #5
- Forum: P1.T4. Valuation & Risk Models