How to choose the return model for market risk? Getting towards a right magnitude of stressed VaR (Q5234365)
From MaRDI portal
scientific article; zbMATH DE number 7110484
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | How to choose the return model for market risk? Getting towards a right magnitude of stressed VaR |
scientific article; zbMATH DE number 7110484 |
Statements
How to choose the return model for market risk? Getting towards a right magnitude of stressed VaR (English)
0 references
26 September 2019
0 references
value at risk
0 references
stressed value at risk
0 references
fundamental review of the trading book
0 references
interest rates
0 references
local volatility
0 references
normal
0 references
lognormal
0 references
relative
0 references
absolute
0 references
displaced
0 references
risk factor returns
0 references
model risk
0 references
return modelling
0 references
geometric calculus
0 references
nature of interest rates
0 references
0 references
