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X6 assignment - Calculation of VaR of a portfolio

  • Thread starter Thread starter rlsrachaellouisesmith
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rlsrachaellouisesmith

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
 
Indeed - if the examiner doesnt give you a mean return, just assume something - most likely zero. This is particularly relevant if the period is very short, and a zero mean return seems reasonable.
 
Thank you Colin, that makes sense as it is only a 1 day VaR we are asked to calculate on the exam paper.
 
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