Value at risk formula - Qlik Community

Report Inappropriate Content · ‎2015-01-10

Good Morning I need to calculate the Value At Risk on a period of 2 years. These are the fields of my equities:

Audi:

LOAD year(Date) as Year,

month(Date) as Month,

Date,

Open,

High,

Low,

Close,

Volume,

[Adj Close],

'AUDI' as Azione

and i already calculated the CC returns.

What is the formula to calculate the Value at risk?

Thanks

Gysbert_Wassenaar · ‎2015-01-10

Wikipedia says the formula is

$\operatorname{VaR}_\alpha(L)=\inf\{l \in \mathbb{R}:P(L>l)\le 1-\alpha\}=\inf\{l\in \mathbb{R}:F_L(l) \ge \alpha\}.$

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