hybrid-approach
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Calculating revised VaR Hybrid approach
The 5th percentile should be between lowest and 2nd lowest transaction i.e. -4.70 % -4.10% then how -3.6% and -3.4% choosen?? Please clarify- desh
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- ewma hybrid-approach revised-var-hybrid-approach
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- Forum: P1.T4. Valuation & Risk Models (30%)
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Hybrid approach to compute VaR
The below example is taken from Linda Allen Order Return Periods Hybrid weight Hybrid cumul. weight HS weight HS cumul.ago weight 1 −3.30% 3 0.0221 0.0221 0.01 0.01 2...- sl
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- hybrid-approach
- Replies: 7
- Forum: P1.T2. Quantitative Methods (20%)