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Computation of the standard error of a coherent risk measure
Dear all, studying the computation of se(q) for the confidence interval of a coherent risk measure (here VaR) in the GARP books, I noticed two inconsistencies. 1. f(q) is indicated as "= 1-0.9446-0.0450" while I believe it would only make sense to compute it as "f(q)=1-(0.9446-0.0450)", i.e...- Michael Mayer
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- confidence interval dowd dowd-chapter-3 market risk standard error var
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- Forum: P2.T5. Market Risk (25%)