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if possible, could you share publicly available methodological guides/pamphlets or post links to specialised websites which give sufficient detail of the basic assumptions, algorithms and possible user's parametrisations/choices of the VaR models implemented within the most popular capital markets platforms (e.g. Bloomberg, MX3 - Murex, Kondor+, OneSumX)?

More in detail, the main models for which I would like to focus on are the following:

  • Kondor+ VaR (KVaR);
  • OneSumX VaR.

Thank you in advance for your help. Nicola

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I doubt this is publicly available, if you do not find it on the respective websites. It's their intellectual property after all.

Moreover, I think these are all enterprise solutions. As such, I am sure any vendor you reach out to and show genuine interest will be more than happy to assist you.

For example, if you use Bloomberg, just ask the help desk and they will provide you with details or tell you the name of your sales representative.

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