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| bio | website | |
|---|---|---|
| location | Pune, India | |
| age | ||
| visits | member for | 5 months |
| seen | Apr 11 at 6:34 | |
| stats | profile views | 4 |
SAS and R programming and modelling
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Apr 9 |
comment |
Value at Risk Monte-Carlo using Generalized Pareto Distribution(GPD) Yes we are trying ex-ante, as an additional feature along with ex-post things in report. Dependency modelling might be in 2nd phase depending upon client requirement. |
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Apr 8 |
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Value at Risk Monte-Carlo using Generalized Pareto Distribution(GPD) mpra.ub.uni-muenchen.de/17736/1/MPRA_paper_17736.pdf sama.ipsl.jussieu.fr/Documents/articles/2006_08_21_Carreau.pdf the 2nd paper suggests that we don't need to measure threshold which defines where the tail begins. |
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Apr 8 |
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Value at Risk Monte-Carlo using Generalized Pareto Distribution(GPD) I am trying to reading below two paper: |
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Apr 8 |
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Value at Risk Monte-Carlo using Generalized Pareto Distribution(GPD) Very good answer, I don't have rights to give up vote. You are right, to cover many asset classes in one application is a big project but as I mentioned Usage will not be for accurate Market Risk valuation purpose but more of a Investment Performance Risk Analytics report so as a shortcut I want to use GPD to model fat tails for all asset classes. I am looking at the book Could you give me any pointer towards GPD Monte Carlo implementation framework ? |
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Apr 6 |
asked | Value at Risk Monte-Carlo using Generalized Pareto Distribution(GPD) |
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Dec 17 |
awarded | Student |
