Рет қаралды 591
Estimating Market Risk Measures
After completing this reading, you should be able to:
• Estimate VaR using a historical simulation approach.
• Estimate VaR using a parametric approach for both normal and lognormal return distributions.
• Estimate the expected shortfall given profit and loss (P/L) or return data.
• Estimate risk measures by estimating quantiles.
• Evaluate estimators of risk measures by estimating their standard errors.
• Interpret quantile-quantile (QQ) plots to identify the characteristics of a distribution.
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