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Value at risk formula

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

1 Reply

Re: Value at risk formula

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\}.

But perhaps this discussion is more helpful: http://community.qlik.com/message/534725#534725


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