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Value-at-Risk(Backtesting)


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Value-at-Risk(Backtesting)

  #1 (permalink)
Keltamustat
Helsinki
 
Posts: 9 since Nov 2018
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Hello everyone!

Could someone help me to understand what is the correct way to calculate VaR in following case?

- If backtesting shows that 10-day 99% VaR has been exceeded in 10 days during the last two years, could it be considered relatively reliable?

Thank you

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  #3 (permalink)
Keltamustat
Helsinki
 
Posts: 9 since Nov 2018
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How can I have the answer without knowing the volatility and portfolio size? What is the correct formula?

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  #4 (permalink)
 Mysterio 
Brisbane Queensland/Australia
 
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Platform: NinjaTrader
Trading: FESX FBGL
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You don't need a formula. It's not reliable.

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  #5 (permalink)
 Mysterio 
Brisbane Queensland/Australia
 
Experience: None
Platform: NinjaTrader
Trading: FESX FBGL
Posts: 3 since May 2018
Thanks Given: 19
Thanks Received: 2

99% VaR should not be exceeded more 1%.
10 days in 2 years is 2%.

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Last Updated on December 4, 2018


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