Risk Frameworks and Applications - 2nd Edition
The first question that needs to be addressed is the level of application of limits. ... This problem may be addressed by moving to exponentially weighted moving averages where the weight of the ... Irrespective of the model used to calculate volatilities, temporary breaches in VaR limits due to a sudden increase in volatilities may still occur and must be addressed. ... VaR is not the maximum possible loss.
| Title | : | Risk Frameworks and Applications - 2nd Edition |
| Author | : | Jawwad Ahmed Farid |
| Publisher | : | Alchemy Technologies - |
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