value at risk

  1. G

    Quantitative Risk Management, Log returns on Parametric Value at Risk

    Hello guys, i have this huge coursework which i have been working for a long time and the deadline is tomorrow, so far i have been able to answer everything but one question on which i would really appreciate the help. Basically one part of the coursework is to acquire historical data for a...
  2. M

    copula-based VaR calculation in R

    I'm working on a value-at-risk calculation using copulas on different stock market indices. I know how to fit the copula, but I can't figure out how to apply the VaR approach in the next step. The concept of copulas is relatively new to me and has proven to be very challenging for an average...
  3. C

    Type II Error in Likelihood Ratio Tests

    Good afternoon, I'm currently working on my master thesis. I'm trying to recommend some improvements to the likelihood ratio tests that already exist to assess the quality of Value at Risk (VaR) Models, so I'd like to calculate the Type II error of a likelihood ratio test. I know that...
  4. Q

    Value at Risk: Model Validation

    I am new to the forum so I hope I am posting in the correct place. PROBLEM: As I am exposed to upper risk in one particular marketed security, I want to set 90 % upper confidence levels for 15 and 30 days going forward. The problem advances as I am tracking the 30 day moving average of this...