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For the first, people regularly compute VaR or CVaR over time and plot the results. For two and three, the documentation for the ETL function says that you can either calculate it using a Gaussian approach or Cornish-Fisher expansion. These are both analytical methods. The Gaussian approach uses only the mean and variance (effectively assuming that the ...


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Given that by delta means that if the price goes up by 0.01% i.e. one basis point, you gain 15 and vice versa if the price goes down by one basis point. You know that the daily standard deviation is 2.2%, than again you know that $ 220*15 = 3300$ is the standard deviation of your portfolio. So, since we are using a normal distribution you can look at a table ...


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They are different metrics. As I understand it: Market risk VaR is a not a coherent risk measure, because it is not subadditive. Market returns are generally considered on a shorter time horizon relative to credit returns, which has implications for expected return drift (namely, credit return drift is likely more substantial, as credit is longer ...



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