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Impact on VaR of overlapping observations when the underlying price and rate processes are mean-reverting. To what extent does mean reversion reduce or even reverse understatement of VaR?\\How should we modify VaR in situations where the passing of time makes a difference other than just unwinding of discount or receipt of coupons?\\Methods of detecting significant price-vol interactions in sensitivity-based VaR so we can take account of significant interactions without degrading efficiency.
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