New answers tagged


Stop right there. For VaR (or for expected shortfall...), you're trying to see what the P&L would be if market factors move 2+ standard deviations. If all your exposures positions are linear (gamma is zero) then P&L estimation is easy using just deltas. But if any gammas is non-zero, then delta-gamma (i.e. Taylor only orders 1 and 2) approximation of ...

Top 50 recent answers are included