Z-Score

[pimp]

Ahh - got it - that makes more sense. I owe you a pint.

 

[cfacfacfa]

If you have an annual VAR…you can’t simply divide that by anything to get monthly..correct?
You need to adjust return and st deviation individually…then recalculate

 

[bigwilly]

^Yes see my calc above.
No problem Pimp, I’ll take a Guiness…BRILLIANT!

 

[Iwona pass]

I guess I owe you one too„, but only after pimp buys you one..hehe…

 

[bigwilly]

BRILLIANT!

 

[volkovv]

also for daily VAR, you use 250 for number of days (250 is number of trading days)
as bigwilly said above, for daily VAR you divide annual return by 250 and annual standard deviation by SQRT(250)