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# Historical Simulation

#### hateeque

##### New Member
Subscriber
Quick question - if we are asked to calculate 95% confidence VaR from a set of 100 returns, do we pick the 6th worst or the 5th worst return?

#### Detective

##### Active Member
Subscriber
6th worst according to Kevin Dowd. However, I think both 5th or 6th worst are OK, and I think exam will make it clear or probably make 5th and 6th worst the same.

#### Nicole Seaman

##### Chief Admin Officer
Staff member
Subscriber
Quick question - if we are asked to calculate 95% confidence VaR from a set of 100 returns, do we pick the 6th worst or the 5th worst return?
Hello @hateeque

Just a reminder that with it being the week of the exam, we ask that our members use the search function in the forum before posting, as many times their questions have already been previously answered. Here are threads that I found with a quick search. I searched for the term "6th worst" and MANY threads came up but here are just a couple of examples:
This not only benefits you since you won't have to wait for an answer, but it also helps us because it becomes impossible to respond to all of the questions that are asked the week of the exam. We want to make sure all of our members get answers to their questions.

Thank you and good luck on the exam!

#### hateeque

##### New Member
Subscriber
sure Nicole - maybe a better idea is to setup a forum for all exam takers for this week.
Otherwise, the first (lazy path) option is to always generate a new thread.

#### David Harper CFA FRM

##### David Harper CFA FRM
Staff member
Subscriber
@Detective is correct In addition to @Nicole Seaman 's links, you can see ~5:00 minute mark at my video on HS VaR https://www.bionicturtle.com/forum/...mulation-hs-var-basic-and-age-weighted.22461/ where the example is 100 days. Dowd retrieves the 6th worst per (1 - C)*k + 1 = (1-95%)*100 + 1 = 5+1 = 6, but Jorion would retrieve the 5th; and there are valid interpolations between 5th and 6th (e.g., Allen's density type approach). As Detective says, GARP is very well aware (we gave so much feedback several years ago!) and the exam will not jam you up on the difference.

#### Nicole Seaman

##### Chief Admin Officer
Staff member
Subscriber
sure Nicole - maybe a better idea is to setup a forum for all exam takers for this week.
Otherwise, the first (lazy path) option is to always generate a new thread.
Hello @hateeque

Our forum is set up in a very organized format with useful search and tag functions so setting up a completely separate forum just for those taking the exam is not something that would be productive. We actually have a forum thread regarding this HERE. Most of our members follow general proper forum etiquette and search the forum before posting new threads instead of taking the "lazy path" and posting a new thread each time they have a question. That is what makes our forum such a valuable resource. It is very easy to search for the concept you have a question about and, many times, your question has already been answered. This benefits everyone, as you don't need to wait for someone to answer your question and it doesn't waste anyone else's time answering the same question numerous times. This week just before the exam, it is especially important to search before posting because David is only human and will not be able to answer every single question that is asked.

Thank you,

Nicole