VAR concepts

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Joined: Mon Jan 30, 2017 4:05 am

VAR concepts

Postby missvidlalsare » Sat Aug 05, 2017 4:13 am

Not able to understand following concepts

1.concept that is Var will increase with increase in the holding period. The rate at which var increases is determined in part by the mean of the distribution. If the return distribution has a mean equal to 0 then Var rises with square root of the holding period ( i.e time) what does it mean exactly as we define var = s,d* CL then what time has to do with it??? ( page 51)

2. taylor series approximation of the function f(x) meaning and exact usage

f(x)= f(x0) + f´(x0) (x-x0)v+ 0.5 f´´ (x0) (x-x0)2 ( page 37)

What exactly does it mean

3. structured monte carlo (SMC) approach formula
S t+1,i = St *e to the power u (mu)+ s.d* z ( page 40 )

( all from VAR schweser notes may nov17)

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Re: VAR concepts

Postby edupristine » Mon Aug 14, 2017 12:57 am


Please find the answers in the attached document.
(21.94 KiB) Not downloaded yet

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