New answers tagged


If I'm correct Backtesting VaR usually boils down to two conditions: The unconditional coverage hypothesis : the probability of an ex-post violation must be equal to the coverage rate. (ie : if 0.01 confidence level, you should get 1% violation). You can test it with the Kupiec Test . The independence hypothesis, your VaR violations should be independent. ...


Why is it so expensive to use the full revaluation method? The commodity forward price is $$ F = (S + U)e^{rT} $$ where $S$ is the current spot price, $U$ is the cost of storage between $0$ and $T$ and $r$ is the risk-free rate (you may also have an FX rate if the forward is priced in a different currency from the underlying). If you have a joint model ...


Treat it like a fixed rate bond with the same maturity date. The principal amount of the fixed rate bond is equivalent to the notional of the swap.

Top 50 recent answers are included