New answers tagged value-at-risk
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Can Heston volatility model be used to calculate VaR or CVaR?
Certainly! The Heston model is a well-known model in quantitative finance that describes the evolution of the volatility of an asset. It's a stochastic volatility model, meaning it assumes that the ...
1
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Method for using Historical Simulation method on an Instrument priced using Monte Carlo
I am not sure what you mean by your second point, but to my knowledge, computing historical Value at Risk on a derivative is a full valuation exercise where you use historical data to simulate changes ...
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