Almost three-quarters of European lenders use the historical simulation (HS) approach to model their market risks, the latest supervisory benchmarking exercise (SVB) by the bloc’s banking watchdog ...
Daniel Jassy, CFA, is an Investopedia Academy instructor and the founder of SPYderCRusher Research. He contributes to Excel and Algorithmic Trading. Robert Kelly is managing director of XTS Energy LLC ...
This paper discusses a value-at-risk (VaR) time-scaling approach based on fitting a distribution function so as to apply a Monte Carlo simulation to determine long-term VaR. The paper uses composite ...
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