Absolute vs Relative VaR

[Kavita.bhangdia]

In Dowd 3rd chapter video, David talks about absolute VaR with mean and relative VaR without mean.. Please can you explain me what is relative VaR and what is absolute VaR.

And the VaR that we calculate using historical simulation is relative or absolute.?

Thanks
Kavita

 

[Deepak Chitnis]

Hi @Kavita.bhangdia, please refer to link https://forum.bionicturtle.com/thre...ersus-relative-var-versus-ul.6020/#post-18763, @David Harper CFA FRM explains it in great way. Hope that helps.
Thank you

 

[Kavita.bhangdia]

Thanks Deepak..