Talk:Value at risk

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Is the VCV matrix the same as the covariance matrix used in the VCV model? This point needs to be clarified - Gauge 22:52, 20 Aug 2004 (UTC)

[edit] Signs Error

It seems to me the formula in calculation part (2) subsection (iii) should be: VaR = V_p * (mu - sigma*z). Else a portfolio with positive mean is penalized. You can still throw a minus sign in front if you prefer to think of VaR in terms of loss rather than dollars at risk.

[edit] Four Parameters?

The article says VaR has four parameters but then lists only three, and goes on to talk about two? Is there a missing parameter or should this just say three/two parameters. Hull says two parameters (currency is ignored since you can just change that at spot).

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