Market Risk Analysis, Value at Risk Models

Market Risk Analysis, Value at Risk Models

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Hence, when adjustment is made using a GARCH model, the scaled volatility adjusted VaR will overestimate VaR when the ... To illustrate this we use Matlab to apply the Epanechnikov, Gaussian and lognormal kernels to a distribution ofanbsp;...

Title:Market Risk Analysis, Value at Risk Models
Author: Carol Alexander
Publisher:John Wiley & Sons - 2009-01-15

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