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Kindly advise how many observations need to calculate daily VaR?
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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.
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Hassan2016
Thanks Matthew, Can I go longer than 1 year?
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Matthew Graves
Of course.
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Hi David, Kindly advise how many observations need to calculate daily VaR?
Nicole Seaman
Nicole Seaman
Hello @Hassan2016. Please see the private message that I responded to. We do not provide one-on-one support in private messages or on profile pages like this. All of our support is provided in our public forum so it can also help other members. Thank you.
Champaklal Chodoo
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Hi can some please clarify on the below

To calculate returns on daily yield rates of a maturity, we first convert it to price and then calculate the returns. What is the logic behind converting it to price and why not directly calculate return of the yield?
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wool
Hey Shrey,

here goes my 2 cents. The statement here is asking to convert daily yields into price so that it can then be extrapolated over the period of maturity to calculate the net returns. The end product of the calculation is to find returns till maturity using daily yield rates. Ex: returns over maturity period of 6 months(180 days) using daily yield rate= 0.1% (example).

Let me know if its otherwise
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Shrey
Well can i have your personal mail id, as I want to explain it through an example on what exactly i am looking for? There is space constraint when I am trying to post it over here.

Thanks
chitanya
I am a Staff Author at Field Engineer a Marketplace for On-Demand telecom workforce, extending from field engineers to high-level network engineers, project managers and Network Architects in 146 nations. I am an EC Engineer.
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Hey quick question? The way the study material is set up is to do the practice questions first but it makes more sense to go over study notes before questions. Is there a reason this is the way it is set up ?? Do you suggest to do the questions first ?
O
Hi, I am surprised there is no BSM in Part 3 of FRM 1 (at least not in the videos and the first 3 option Hull chapters). Should we know this for the exam? Thanks in advance.
Branislav
Dear Nicole, I wold kindly ask for help regrading finding some spreadsheet example of Monte Carlo simulation. I am sure there are plenty but did not manage to find them by searching by tags? Generally, if I want to search for all available Davids spreadsheets what is best approach?
Thanks in advance for helping
Nicole Seaman
Nicole Seaman
@Branislav Please make sure to post any questions that you have in the main forum, as I do not always see the comments left here on my profile and it does not allow me to provide a detailed answer. Besides the spreadsheets that are published in the study planner we do not have a general area where you can find other spreadsheets. Have you searched the forum (not just tags) for Monte Carlo simulation?
Branislav
Branislav
Thanks Nicole.
David Harper CFA FRM
did you get my private message?
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yuwaising
Hi David I didn't realise there was a private message function. And I can only see this one I'm assuming you have another message. Again I'm sorry if come off as wasting your time, I really do read the post and only ask questions if I still don't understand. I'll keep in mind to post in general when I've seen a similar post but have additional questions. I hope you can still provide detailed explanations nearer to
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yuwaising
Exams as your replies are really like a light at the end of a tunnel. Thank you.
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