how to calculate the historical value at risk of a portfolio?

L

lebroker

New member
1- i have different securities in 1 portfolio, but each security has different historical market prices (some have more than 5 years, others are less than 1 month!)

any idea how to adjust my VaR to that? is it ok to take different scenarios, or shall i take the smallest day count? the greatest day count?


2- when i calculate the VaR of the total portfolio, do i sum the VaR for each security or the average?

thanks
 
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