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Historical Simulation
Quick question - if we are asked to calculate 95% confidence VaR from a set of 100 returns, do we pick the 6th worst or the 5th worst return?- hateeque
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- historical-simulation
- Replies: 5
- Forum: P1.T4. Valuation & Risk Models
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Computing delta of an ATM call using N(d1)
Would it be ok to assume a delta of 0.5 for an ATM call instead of applying the BSM N(d1) calc on the exam?- hateeque
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- Replies: 1
- Forum: P1.T4. Valuation & Risk Models