Dear Mr David,
I was referring to following paper by Mr Thomas J Linsmeirer and Mr Neil D Pearson.
On page 10, FX Forward VaR computation using Varcovar method is illustrated.
Assuming a FX Forwards of BUY 10 million GBP and Sell 15...
Dear Mr David
Kevin Dowd in his book Measuring Market Risk (2nd Edition) has mentioned the advantages of using the Geometric returns over Arithmetic returns (3rd chapter). In fact I always quote following example –
Suppose an asset was trading at the prices as given below –
May 15, 2017 - $50...
Hello Mr David,
I do understand the Historical Simulation as well as Var covar method, Especially in VaR Covar mapping of multiple positions into standardized risk factors as well as application of EWMA etc also I am aware. But when it comes to Monte Carlo, I am always confused.
(1) I remember...