References Abouarghoub, Wessam (2013). Implementing the new science of risk management to tanker freight markets, doctoral thesis, University of the West of England. Alexander, Carol O. (2001). Market Models, Chichester: John Wiley & Sons. Alexander, Carol O. and A. M. Chibumba (1997). Multivariate orthogonal factor GARCH, working paper. Allen, M. (1994). Building a role model, … Continue reading References The post References appeared first on Value-at-Risk.| Value-at-Risk
Endnotes Chapter 1 Dowd (2005) discusses ETL metrics. Recall that standard deviation is the square root of variance. Gradient approximations are discussed in Section 2.3. As obtained with a Monte Carlo transformation. Some value-at-risk measures make simplifying assumptions that render the value of 0p unnecessary—it drops out of the calculations. Others either accept 0p as … Continue reading Endnotes The post Endnotes appeared first on Value-at-Risk.| Value-at-Risk
Aspume a one-day 95% EUR value-at-risk measure was used for a period of 125 trading days. Data gathered for backtesting is presented in The post 14.6 Example: Backtesting a One-Day 95% EUR Value-at-Risk Measure appeared first on Value-at-Risk.| Value-at-Risk