Questions tagged [normal]

The tag has no usage guidance.

1 question with no upvoted or accepted answers
Filter by
Sorted by
Tagged with
0
votes
1answer
64 views

VaR using normal vol vS lognormal

We are using a vendor's software to calculate the Parametric VaR (using RiskMetrics approach) that take as input the volatility figure of the risk factors. The volatility used so far was the lognormal....