[R-SIG-Finance] Need help please

[Zhang, Ivan]

Hi Bogaso,

This may not necessarily help you get an answer, but perhaps would steer
you in another direction:

If the series doesn't look continuous you may potentially be able to
pick a quantile that would make this measure not "coherent" which
basically invalidates the use of VaR as a measure of risk in this case.

For more information on Coherent risk measures, see below link or Google
"coherent risk measure"

http://www.math.ethz.ch/~delbaen/ftp/preprints/CoherentMF.pdf


Hope this helps,


-Ivan Zhang

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Bogaso
Sent: Tuesday, January 26, 2010 3:25 AM
To: r-sig-finance at stat.math.ethz.ch
Subject: [R-SIG-Finance] Need help please


Dear folks,

I got a very notorious weekly price series where price seldom changes
like :

6-Jan-92	4.38
13-Jan-92	4.38
20-Jan-92	4.38
27-Jan-92	4.38
3-Feb-92	4.38
10-Feb-92	4.38
17-Feb-92	4.38
24-Feb-92	4.38
2-Mar-92	4.38
9-Mar-92	4.38
16-Mar-92	4.38
23-Mar-92	4.38
30-Mar-92	4.38
6-Apr-92	4.38
13-Apr-92	4.38
20-Apr-92	6.56
27-Apr-92	6.56
4-May-92	6.56
11-May-92	6.56
18-May-92	6.56
25-May-92	6.56
1-Jun-92	6.56
8-Jun-92	6.63
15-Jun-92	6.63
22-Jun-92	6.63
29-Jun-92	6.63
6-Jul-92	6.63
13-Jul-92	6.63
20-Jul-92	6.99
27-Jul-92	6.99
3-Aug-92	6.99
10-Aug-92	6.99
17-Aug-92	6.99
24-Aug-92	6.99
31-Aug-92	6.99
7-Sep-92	6.99
14-Sep-92	6.99
21-Sep-92	6.99
28-Sep-92	6.99
5-Oct-92	6.99
12-Oct-92	6.99
19-Oct-92	6.99
26-Oct-92	6.99
2-Nov-92	6.99
9-Nov-92	6.99
16-Nov-92	6.99
23-Nov-92	6.99
30-Nov-92	6.99
7-Dec-92	6.99
14-Dec-92	6.99
21-Dec-92	6.99
28-Dec-92	6.99
4-Jan-93	6.99
11-Jan-93	6.99
18-Jan-93	6.99
25-Jan-93	6.99
1-Feb-93	6.99
8-Feb-93	6.99
15-Feb-93	6.99
22-Feb-93	6.99
1-Mar-93	6.99
8-Mar-93	6.99
15-Mar-93	6.99
22-Mar-93	6.56
29-Mar-93	6.56
5-Apr-93	6.56
12-Apr-93	6.56
19-Apr-93	6.56
26-Apr-93	6.56
3-May-93	6.56
10-May-93	6.63
17-May-93	6.63
24-May-93	6.63
31-May-93	6.63
7-Jun-93	6.63
14-Jun-93	6.63
21-Jun-93	6.99
28-Jun-93	6.99
5-Jul-93	6.99
12-Jul-93	6.99
19-Jul-93	6.99
26-Jul-93	6.99
2-Aug-93	6.99
9-Aug-93	6.99
16-Aug-93	6.99
23-Aug-93	6.99

I have a mandate to calculate VaR on that price data, probably in
Parametric
way. My question is can I apply standard way which we generally use like
log-normally distributed price, to calculate VaR here? Or some other
modeling approach needs to be taken care? Can anyone please provide me
any
references over net, how to handle this type of scenario?

Your help will be highly appreciated.

Thanks,
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