How to implement volatility models in VaR and ES calculation

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Tabriz
Posts: 1
Joined: Sat Apr 27, 2013 5:33 pm

How to implement volatility models in VaR and ES calculation

Postby Tabriz » Sat Apr 27, 2013 11:53 pm

Hi Carol

Could you please explain me several questions?

I calculated EWMA. Should I use it just as a usual delta-normal way on Var and ES calculation?

Should I scale ES like delta normal VaR ?

Could I use EWMA on Monte Carlo simulation instead of simple volatility?


Thanks
Tabriz

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