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LogVaR conflict?

pint0

New Member
Thread starter #1
Hi everyone!

I have a question regarding LogVaR. I start directly with an example:

Szenario 1:
Mean: 10%
StdDev: 20%
CL: 99%
LogVar -> 30.6%

Szenario 2:
Mean: 5%
StdDev: 2%
CL: 99%
LogVar -> -0.35%

From the first Scenario I understand from my Portfolio-Value around 30% is at risk,
but I can't translate the second scenario in kind of a risk metric. Generally I thought LogVaR is always positive / bounded by 0.
I understand why this happens, mathematically, but I dont get the concept now. Does it mean, that there might be no risk?
But again, why is it negative when the concept says it is bounded by 0? Obviously not.


I am asking kindly for help!

With kind regards
 
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