farley013 Wrote: ------------------------------------------------------- > VAR relies on a normal distribution of returns. QED.
actuaryalfred Wrote: ------------------------------------------------------- > Analytical method can be applied to any loss > distribution, as long as there is an easy way to > solve F(x) = alpha, where alpha is given (eg 0.05) > and F is the cumulative distribution function. > (just assume continuous distribution). Normal > distribution gives you formula for various alpha. > But formula exists for other distribution as well > (eg exponential distribution). So analytical > method per se does not need to restrict the > assumption of the underlying loss distribution to > be normal. sure, totally agree, its just that the calc are easiest w normal
>You didn’t use the word only. But, you used that passage to support your previously- >expressed absurd point, which is “normality is an assumption of all methods of VaR >calculation”. I hate to tell you this, but putting words in someone’s mouth only works when that person’s real words weren’t recorded in a previous post. Again, you are trying to support your idiotic assertions by inserting the word “all” where you once wrote “only” in a statement I made that did not include either of these words to begin with. To paraphrase Big Nodge, you just got pwned.
farley013 Wrote: ------------------------------------------------------- > >You didn’t use the word only. But, you used that > passage to support your previously- > >expressed absurd point, which is “normality is an > assumption of all methods of VaR > >calculation”. > > I hate to tell you this, but putting words in > someone’s mouth only works when that person’s real > words weren’t recorded in a previous post. Again, > you are trying to support your idiotic assertions > by inserting the word “all” where you once wrote > “only” in a statement I made that did not include > either of these words to begin with. To paraphrase > Big Nodge, you just got pwned. I give up, guys. I tried my best.
thanks maratikus. for what its worth, CAIA curriculum assumes VaR is normally distributed.