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Value at Risk, a widely used risk measure of the risk of loss on a specific portfolio of financial assets.

15
votes
3answers
Say you have a portfolio with long exposure to a few linear assets (stock indices) and short exposure to a nonlinear asset (say call options on one of the linear assets). I am interested in modellin …
asked Sep 30 '13 by Chris
5
votes
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I am writing my thesis on VaR and ES risk measurements and have encountered some issues with how to best test the accuracy of ES estimates. My understanding of the topic is that backtesting ES … approximated by several VaR estimates. Thus, they state ES can be backtested reasonably by backtesting several VaRs (at different confidence levels) related to the ES estimate. Their specific proposition …
asked Dec 17 '13 by Chris