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hybrid-methods

  1. Sixcarbs

    Interpolating VaR by the hybrid method. Why create a false entry? (Allen)

    I am trying to interpolate the VaR using the hybrid method. Below is Table 1-3 from Allen. For the initial, (top half), for 5% I interpolate between .0447 and .0511 and -2.90% and -2.70%. I get 2.73%. .0500 is roughly 17% less than .0511 so 17% of the difference is roughly .03% which gives...
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