The Traderszone Network

Published in TZ Latest News 17 June, 2017 by The TZ Newswire Staff

How is the VaR calculated in IBKR VaR report?

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…

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