What is an excellent/good/poor return on VaR in commodity trading ?
For a proprietary book , what would an excellent/good/poor return on VaR be? Would a 10x return on VaR be a good return on an annual basis?
VaR isn't just a set number...... What time frame (daily, weekly, monthly etc) and what interval (90%, 95%, 99% etc) you're looking at decides the ratio.
Voluptas enim perferendis ut ut nulla atque assumenda. Rerum adipisci blanditiis ut veniam.
See All Comments - 100% Free
WSO depends on everyone being able to pitch in when they know something. Unlock with your email and get bonus: 6 financial modeling lessons free ($199 value)
or Unlock with your social account...