Hello everyone!

Could someone help me to understand what is the correct way to calculate VaR in following case?

- If backtesting shows that 10-day 99% VaR has been exceeded in 10 days during the last two years, could it be considered relatively reliable?

Thank you

How can I have the answer without knowing the volatility and portfolio size? What is the correct formula?

You don't need a formula. It's not reliable.

Sent using the NexusFi mobile app

99% VaR should not be exceeded more 1%.
10 days in 2 years is 2%.

Sent using the NexusFi mobile app