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value at risk, simple sign question.
Hello Everyone!Using Wilmott's notation (Wilmott introduces quantitiative finance, page 357)let be the quantity of stock with price S and volatility . If the time horizon is and the degree of confidence is c, then the value a t risk is given by, where alpha is the inverse cumulative distribuition function for the standard Normal distribuition.I was trying to deduce this formula but I'm getting a signal wrong... I would like to know if someone knows what I'm doing wrong. Here's my approachSo(note the minus sign after the first parenthesis) Thanks for any help.
value at risk, simple sign question.
I'm thinking it doesn't matter. Loss is usually represented as a negative (so delta-S will be negative).But if you think "how much money will I lose" in VaR terms, it makes intuitive sense to say that as a positive number, which is the convention.
value at risk, simple sign question.
Hello. Thanks for your reply. I think you did not get the point.First, note that is NOT A DIFFERENCE. Delta is the quantityof assets that I have and S is its current price.I'm not confused if VaR is positive or negative. Please compare the first formula for VaR in my first message (that formula is found on Wilmott book page 357)and then compare with the formula for VaR that I found. They are NOT the same in absolute value.