Hi all!
I have a question on how to calculate the parametric 95% VaR for a savings plan that is investing in a risky asset.
We have an initial amount and in addition monthly recurring investments.
Without monthly payments the answer is easy (Standard delta norm. dist. VaR):
Var = ((1+r)^t - 1,65*v*(t)^0,5) * x
x = Initial investment
v = Expected (monthly) volatility of asset
r = Expected (monthly) return of asset
t = Total period in months
How is that calculated with regular payments (of equal size).
I have not found any closed end parametric solution for this problem so far and run out of time : (
I am thankful for any indication or link to a solution.
Best regards,
Felix