Value at Risk, a widely used risk measure of the risk of loss on a specific portfolio of financial assets.
6
votes
0answers
199 views
Calculating VaR/CVaR on high frequency data and returns
As we converge on the minute time scale and below for our unit time interval, the return distributions tend to be leptokurtotic and more discretized (due to fixed values such as minimum price ...
5
votes
0answers
142 views
VaR model Unconditional Coverage Tests: Is this extension of Kupiec POF test correct?
Background: Kupiec P. in 1995, published paper "Techniques for Verifying the Accuracy of Risk Management Models" on Journal of Derivatives, v3, P73-84, it's a Unconditional Coverage Tests designe for ...
1
vote
0answers
138 views
VaR backtesting with overlapping time intervals
Of course the issue here is dependence: can it be removed or accounted for (in independence tests too, which of course would be troublesome)? There's a lot of literature on regression in this setting, ...
0
votes
0answers
104 views
what's analytic calculation formula for multi-option cross gamma?
I knew it's d^2v/dx1dx2, but I don't have the explicit function of v=f(x1,x2). How do you come up with gamma/cross gamma matrix?
Thank you very much.
