historical volatility weighted VaR

[Anonymous]

I think this is just a typo but wanted to double check, the result is negative 12.5% correct, not positive 12.5%?

Consider an example: if the current volatility is 2%, and a return of -5% was earned at a time when the volatility was 0.8%, then the volatility weighted return would be 12.5% (=-5% x 2%/0.8%). Clearly, this has the effect of increasing the VaR.

[Jeffrey Chudy]

historical volatility weighted VaR

[Anonymous]

Jchudy,

What you say appears to be correct. But can you give me the question or tutorial reference too so I can check there too?

Thanks,
Mukul

[Anonymous]

I think this was Q26 on Exam 3.

[Anonymous]

That doesn’t seem to be it – but never mind. If you come across it again let me know.

[Author]

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