Calculating VAR

CFA Level III Derivatives
#1

when calculating VAR from historical number and if the return number is not whole number, which approach to take?

i.e.

for example 6,

there are 240 returns.

1% var = 2.4th return.

Book said you can either take 2nd return or average of the two?

what approach should be worry free for exam?

Can I always take avg and use it?

i.e what if the return is 2.9th return and if I take average, it might actually be wrong…

#2

Second return plus 40% of the difference between the third return and the second return.

#3

sounds logical… would grader give full points for this?

#4

of course he would. it is called “linear interpolation”.

#5

Or she.

#6

Thank you both!