you have to really understand those concepts. If you are a real risk manager, it is a piece of cake. However, many of us are not risk managers. and risk managers don't need those certificate.
Do u remember there is a question regarding HS VAR? It is about adding 10 day data into 50 day data. The worst return is 2.xx % in the 10 day sample. Anyone chooseAnswer D ? 6.xx%?
muimui725 发表于 2014-11-17 10:56
Why is C ? 5.5% is the fifth worst case ?
When using last 50 days data to calculate VaR, we should delete the worst returns which are 40 days ago and find the second and third worst returns to calculate the new VaR.
muimui725 发表于 2014-11-17 10:56
Why is C ? 5.5% is the fifth worst case ?
When using last 50 days data to calculate VaR, we should delete the worst returns which are 40 days ago and find the second and third worst returns to calculate the new VaR.