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Results tagged with value-at-risk
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user 1215
Value-at-Risk is a family of measures used to help the owner of a position to assess its "worst case value".
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CDS spread scenarios from historical market data
Market Risk VaR takes one year of history. Thus you wouldn't look 5-10 years of history.
If you are using CDS prices only for pricing CDSs you don't need to, but if you have another model that takes …
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