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...

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...

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...

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...