Πώς να υπολογίσετε το Va R
Τι είναι το Va R;
Value at Risk (VaR) estimates maximum loss over time period at confidence level (e.g., 95% confident loss won't exceed $X in one day).
Οδηγός βήμα προς βήμα
- 1Input returns history or parameters
- 2Calculate percentile loss
- 3Report VaR at chosen confidence level
Worked Examples
Εισαγωγή
$1M portfolio, 95% confidence
Αποτέλεσμα
95% VaR ≈ $50k/day (5% chance of larger loss)
Risk measure used by banks
Common Mistakes to Avoid
- ✕Assuming VaR captures all downside
- ✕Not updating with new volatility regime
Frequently Asked Questions
Doesn't VaR underestimate tail risk?
Yes, doesn't show loss magnitude beyond confidence level; use CVaR (expected shortfall) too.
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