Standard Normal Table The post Standard Normal Table appeared first on Value-at-Risk.| Value-at-Risk
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
About the Author Glyn A. Holton is an author and consultant specializing in financial risk management. He is known for his groundbreaking paper Defining Risk. He wrote the definitive book on value-at-risk and distributes the second edition of that book freely online. He blogs at GlynHolton.com. The post About the Author appeared first on Value-at-Risk.| Value-at-Risk
Value-at-Risk Theory and Practice Second Edition Glyn A. Holton 2014 Published by the author. The post Title Page appeared first on Value-at-Risk.| Value-at-Risk
copyright © 2014, Glyn A. Holton All rights reserved. No part of this book may be reproduced or transmitted without the express written permission of the author except for the use of brief quotations. Second Edition, 2014 Holton, Glyn A. (2014). Value-at-Risk: Theory and Practice, second edition, e-book published by the author at www.value-at-risk.net. First … Continue reading Copyright The post Copyright appeared first on Value-at-Risk.| Value-at-Risk
14.8 Further Reading – Backtesting For an alternative discussion of backtesting, see Campbell (2005). For some notable backtesting methodologies not discussed in this chapter, see Haas (2001), Engle and Manganelli (2004), and Ziggel et al. (2014). See also Christoffersen and Pelletier (2004), Haas (2005), and Berkowitz et al. (2011), who discuss duration-based backtesting methodologies. These are a form of … Continue reading 14.8 Further Reading Backtesting The post 14.8 Further Rea...| Value-at-Risk
14.7 Backtesting Strategy Specifying a backtesting program for a trading organization can be an unsettling experience, plagued by data limitations and philosophical quandaries. Here we shall address issues and present practical advice on how to proceed. 14.7.1 Backtesting as Hypothesis Testing Backtesting, as it is commonly practices, is hypothesis testing. It poses all the familiar challenges … Continue reading 14.7 Backtesting Strategy The post 14.7 Backtesting Strategy appeared first ...| 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
Independence tests are a form of backtest that assess some form of independence in a value-at-risk measure’s performance from one period to the next.| Value-at-Risk