Discussion on Value-at-Risk Models
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- Nelson Siegel Svensson Curve Parameters
by nleveroni » Fri Sep 03, 2010 2:59 am
- 1 Replies
- 3 Views
- Last post by coalexander
Fri Sep 03, 2010 9:20 am
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- Volatility for potential exposure simulation
by LTL » Fri Aug 13, 2010 3:54 pm
- 5 Replies
- 40 Views
- Last post by coalexander
Mon Aug 16, 2010 8:33 pm
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- Dynamic copula with Garch
by amadei » Thu Aug 12, 2010 9:34 pm
- 1 Replies
- 16 Views
- Last post by coalexander
Fri Aug 13, 2010 9:17 am
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- PCA for VaR calculation
by approximated » Thu Jul 15, 2010 1:21 pm
- 3 Replies
- 42 Views
- Last post by coalexander
Fri Jul 16, 2010 2:10 pm
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- Risk using Student T
by FatTail » Sun Nov 16, 2008 10:31 am
- 21 Replies
- 965 Views
- Last post by coalexander
Tue May 04, 2010 9:32 am
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- Parametric Var model
by mrpmkt » Wed Dec 02, 2009 5:01 am
- 4 Replies
- 177 Views
- Last post by coalexander
Tue May 04, 2010 9:29 am
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- Errata
by Ricky » Mon Mar 15, 2010 7:13 pm
- 3 Replies
- 92 Views
- Last post by coalexander
Sat May 01, 2010 2:47 pm
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- Historical Equity VaR : Newbie Qs
by Nirali » Fri Apr 23, 2010 10:06 am
- 5 Replies
- 84 Views
- Last post by coalexander
Fri Apr 23, 2010 3:10 pm
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- VaR estimation of options
by andreask » Thu Apr 22, 2010 8:11 am
- 2 Replies
- 47 Views
- Last post by andreask
Thu Apr 22, 2010 5:50 pm
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- Monte Carlo Var for Futures/FX Forwards
by mrpmkt » Thu Feb 18, 2010 11:22 pm
- 1 Replies
- 96 Views
- Last post by coalexander
Fri Feb 19, 2010 10:26 am
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- HISTORICAL VaR
by hao » Sat Feb 13, 2010 11:38 pm
- 2 Replies
- 158 Views
- Last post by hao
Mon Feb 15, 2010 10:36 am
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- Historical Simulation for interest rate products
by safia » Mon Feb 01, 2010 2:48 pm
- 2 Replies
- 133 Views
- Last post by safia
Mon Feb 01, 2010 3:42 pm
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- Historical Simulation with uneven time series
by mrpmkt » Thu Jan 21, 2010 10:23 pm
- 6 Replies
- 144 Views
- Last post by mrpmkt
Fri Jan 22, 2010 5:15 pm
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- Estimates of GDP Parameters
by coalexander » Wed Jan 06, 2010 11:24 am
- 2 Replies
- 107 Views
- Last post by coalexander
Thu Jan 07, 2010 7:01 pm
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- calibration of parameters in Monte Carlo VAR process
by bobafett » Fri Oct 30, 2009 8:36 am
- 1 Replies
- 91 Views
- Last post by coalexander
Fri Oct 30, 2009 9:20 am
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- Monte Carlo var for equity portfolio
by mrpmkt » Tue Sep 15, 2009 10:05 pm
- 5 Replies
- 197 Views
- Last post by coalexander
Mon Oct 05, 2009 12:41 pm
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- Linear Interest Rate Stress Testing with PCA
by darraghg » Wed Sep 30, 2009 10:58 am
- 1 Replies
- 105 Views
- Last post by coalexander
Thu Oct 01, 2009 9:17 am
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- Stress Testing a model/Backtesting
by FatTail » Fri Jul 24, 2009 2:36 pm
- 1 Replies
- 211 Views
- Last post by coalexander
Mon Aug 17, 2009 1:14 pm
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- VaR for interest rate option portfolios
by Gaia » Mon Jan 26, 2009 3:55 pm
- 2 Replies
- 421 Views
- Last post by Gaia
Wed Jan 28, 2009 4:41 am
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- Measuring dependence in data series
by FatTail » Thu Nov 20, 2008 10:45 pm
- 1 Replies
- 245 Views
- Last post by coalexander
Fri Nov 21, 2008 9:11 am
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- Liquidity Stress Tests
by daniel » Mon Sep 29, 2008 9:34 am
- 2 Replies
- 796 Views
- Last post by purbani
Tue Oct 21, 2008 1:04 am
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