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.
