Search type Search syntax
Tags [tag]
Exact "words here"
Author user:1234
user:me (yours)
Score score:3 (3+)
score:0 (none)
Answers answers:3 (3+)
answers:0 (none)
isaccepted:yes
hasaccepted:no
inquestion:1234
Views views:250
Sections title:apples
body:"apples oranges"
URL url:"*.example.com"
Favorites infavorites:mine
infavorites:1234
Status closed:yes
duplicate:no
migrated:no
wiki:no
Types is:question
is:answer
Exclude -[tag]
-apples
For more details on advanced search visit our help page
Results tagged with Search options user 35546

The possibility that a negative event (such as a loss) will happen.

1
vote
Pages 8-11 of the BIS 1996 paper on backtesting provide very useful general guidance: https://www.bis.org/publ/bcbs22.pdf Hope this helps. Many of these (positions mismatch, risk factors not … observation period that you mentioned, one can also look at volatility scaling, improving the accuracy of the valuation, brining in additional risk factors etc. Understanding the causes is therefore very important when devising an improvement plan. …
answered Sep 25 '18 by Magic is in the chain
0
votes
Let's $\Phi$ represent the standard normal CDF, and q the required var quantile (e.g., 95%) so your $z=\Phi^{-1}\left(q\right)$. Now assume the return x is normally distributed with annualised mean …
answered Jun 22 by Magic is in the chain
2
votes
Repo is essentially collateralised lending/borrowing, but it is executed via sale and repurchase. The repo rate works the same way as the deposit rate, so would be annualised. General collateral means …
answered Jun 15 by Magic is in the chain
1
vote
Given the main uses of the VaR relate to risk management such as limit management, and measurement of P&L volatility, it is usually calculated under the physical/real world measure. Reason being that … the risk measure are normally used to predict or explain the P&L movements from one day to another, which one can relate to their historical movements. Risk neutral dynamics are usually very …
answered Oct 22 '18 by Magic is in the chain