Question
What formulas would I use to calculate 5% monthly VaR and 5% monthly CVaR given a list of monthly returns? Please give all the formulas
What formulas would I use to calculate 5% monthly VaR and 5% monthly CVaR given a list of monthly returns? Please give all the formulas below.
I was given dates & the corresponding monthly returns for WMT (Walmart). Here's a screenshot of part of the data to clarify:
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Operations management
Authors: Jay Heizer, Barry Render
10th edition
978-0136119418, 136119417, 978-0132163927
