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3
votes
2answers
180 views
Fitting distributions to financial data using volatility model to estimate VaR
I want to fit a distribution to my financial data using a volatility model to estimate the VaR. So in case of a normal distribution, this would be very easy, I assume the returns to follow a normal ...
2
votes
1answer
108 views
Value at Risk Monte-Carlo using Generalized Pareto Distribution(GPD)
I have created a VBA program to calculate VaR by using Monte Carlo, I have simulated Brownian Motion. This method might be ok for 100% equity portfolio, but let's say this portfolio may have fixed ...
1
vote
1answer
218 views
How to interpret/use VaR and Standard Deviation?
The parametric VaR is defined as follows:
$$VaR=Z_a*Vol$$
Is this the best way to interpret how much risk is being taken on for a particular asset?
How does one interpret volatility on its own if ...
7
votes
3answers
269 views
How does Cornish-Fisher VaR (aka modified VaR) scale with time?
I am thinking about the time-scaling of Cornish-Fisher VaR (see e.g. page 130 here for the formula).
It involves the skewness and the excess-kurtosis of returns. The formula is clear and well ...
