Hello all
Can someone explain me the computations of the standard error of quantile estimator and coherent estimators as given in Garp material 'Market risk measurement and management' pp 15 to 18?
I presume that it's not important from an exam perspective as BT videos and notes do not have this derivation, yet I would like to know about this
Thanks
Mani
Can someone explain me the computations of the standard error of quantile estimator and coherent estimators as given in Garp material 'Market risk measurement and management' pp 15 to 18?
I presume that it's not important from an exam perspective as BT videos and notes do not have this derivation, yet I would like to know about this
Thanks
Mani
