How is the VaR calculated in IBKR VaR report?

Discussion in 'Risk Management' started by helpme_please, Jun 17, 2017.

  1. Interactive Brokers provides a useful function for risk management. It can generate a VaR report under Account Management using historical method and variance-covariance method.

    Anyone knows how the VaR is calculated? At least, it will be helpful to know what data is used for the calculation. My guess is end-of-day price data is used. However, I have no idea how many days of price data is being used.

    Another thing I observe is that VaR from historical method is always higher than variance-covariance method. My portfolio consist fully of stocks with no short positions and it is well diversified with > 50 stocks.
     
  2. traider

    traider

    You can find standard VaR method in Hull. What IB uses is probably a more conservative version and maybe with shock periods included.
     
  3. Did you ask IB what formula they use for the VaR calculation?
     
  4. Answer was not provided.