Currently interested in some Value-at-risk calculation methods, I understood in a video by Claude Martini (https://youtu.be/_OZvk-G92EQ), that it is now common to see SSVI-based VaR calculation models in the risk management industry. In doing my research, I could not find any papers that used this particular stochastic volatility model for VaR (or CVaR) computation. Would you know where I could possibly look for a paper dealing with SSVI applied to (C)VaR?
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