A Monte Carlo Modification

Martin Auer
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Martin Auer: Raiffeisen Bank International

Chapter 10 in Hands-On Value-at-Risk and Expected Shortfall, 2018, pp 49-52 from Springer

Abstract: Abstract Our VaR model typically uses 2 years of data or 500 returns, and it generates, via mirroring, twice that number of scenario returns.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:spr:mgmchp:978-3-319-72320-4_10

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DOI: 10.1007/978-3-319-72320-4_10

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