TRADING DAYS

[narayananvenkat]

David..


For computaional purpsoes what number of trading days are to be consdiered? 250 or 252 days? Esp in VaR calculations, some place use 250, some 252.
venkat

 

[David Harper CFA FRM]

Hi venkat,

I agree, we see both. I am unaware of a standard or default assumption ... I quickly looked at a few of my library sources and 250 seems to be more prevalent (e.g., Dowd, Alexander), and also that's what Basel II uses in illustrating. As a practical matter, it should be provided in question. But, it seems like 250 is safe.

David