var methodology change gentlemen ,
below is a plan of action for moving along with the var methodology change
related to forward - forward volatility :
1 . finalize the methodology proposed ( research / market risk )
- determine the time period used to calculated forward - forward vols vs .
correlations ( 20 days vs . 60 days )
- stabilize the calculation for curves and time periods where the curve does
not change based on historical prices , implying volatility of 0 %
2 . get approval for the methodology change from rick buy ( see draft of the
memo attached ) - john lavorato and john sherriff
3 . develop and implement the new methodology in a stage environment
( research / it )
4 . test the new methodology ( market risk , traders )
5 . migrate into production ( research / it )
please let me know if this is reasonable and meets everyone ' s expectations .
vlady .
var methodology change
gentlemen ,
below is a plan of action for moving along with the var methodology change
related to forward - forward volatility :
1 . finalize the methodology proposed ( research / market risk )
- determine the time period used to calculated forward - forward vols vs .
correlations ( 20 days vs . 60 days )
- stabilize the calculation for curves and time periods where the curve does
not change based on historical prices , implying volatility of 0 %
2 . get approval for the methodology change from rick buy ( see draft of the
memo attached ) - john lavorato and john sherriff
3 . develop and implement the new methodology in a stage environment
( research / it )
4 . test the new methodology ( market risk , traders )
5 . migrate into production ( research / it )
please let me know if this is reasonable and meets everyone ' s expectations .
vlady .