rlsrachaellouisesmith
Ton up Member
Hi
I understand the calculation of VaR in question X6.5(ii), however in Sept 2017 Q6 a VaR is calculated as well and no expected return is given. It seems as though in this question we just assume that the expected return is 0 as it does not contribute to the VaR.
Do we just do this because no return is given? Or is there something else I am missing.
Thank you,
Rachael
I understand the calculation of VaR in question X6.5(ii), however in Sept 2017 Q6 a VaR is calculated as well and no expected return is given. It seems as though in this question we just assume that the expected return is 0 as it does not contribute to the VaR.
Do we just do this because no return is given? Or is there something else I am missing.
Thank you,
Rachael