Interactive Brokers provides a useful function for risk management. It can generate a VaR report under Account Management using historical method and variance-covariance method.
Anyone knows how the VaR is calculated? At least, it will be helpful to know what data is used for the calculation. My guess is end-of-day price data is used. However, I have no idea how many days of price data is being used.
Another thing I observe is that VaR from historical method is always higher than…