B*******t
发帖数: 135 | 2 I considered the problem in a mathematical way and thought the joint-
distribution of the DeltaV2 and DeltaV2 should be given to figure out the
VaR of the big portfolio.
Let's start from the mathematical (probability) meaning of VaR. Assume the
portfolio value today is V and the increase by tomorrow is DeltaV, then the
5% VaR is the minus value of the 5% percentile of DeltaV. In other words, if
the %5 percentile of DeltaV is -2, then 5% Value-at-Risk = 2.
Therefore, the original VaR problem can |
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