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Value At Risk

Value At Risk. IEF 217a: Lecture Section 5 Fall 2002 Jorion Chapter 5. Outline. Computing VaR Interpreting VaR Time Scaling Regulation and VaR Jorion 3, 5.2.5-5.2.6 Estimation errors. VaR Roadmap. Introduction Methods Reading: Linsmeier and Pearson Easy example Harder example:

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633 views • 44 slides

VaR Methods

VaR Methods. IEF 217a: Lecture Section 6 Fall 2002 Jorion, Chapter 9 (skim). Value at Risk: Methods. Methods Historical Delta Normal Monte-carlo Bootstrap. Historical. Use past data to build histograms Method: Gather historical prices/returns

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394 views • 28 slides

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1 day var - PowerPoint PPT Presentation

Value At Risk

VaR Methods