re : " analytical " var implementation in risktrac debbie ,
i am forwarding to you a 2 page document describing implementation of
" analytical " var in risktrac .
here is why this effort is very important :
1 . we need to calculate var for other percentile but 5 ( 1 % or even 0 . 2 % as
mentioned by rick buy )
and our simulation model can not handle required number of simulations ;
2 . we need to present additional risk measures ( such as mean tail loss ) to
the board .
the analytical approach is implemented in a spreadsheet and fully tested
already so there will be no problems
with the algorithm itself .
we need to get together and discuss it implementation .
what do you think ?
tanya
re : " analytical " var implementation in risktrac
debbie ,
i am forwarding to you a 2 page document describing implementation of
" analytical " var in risktrac .
here is why this effort is very important :
1 . we need to calculate var for other percentile but 5 ( 1 % or even 0 . 2 % as
mentioned by rick buy )
and our simulation model can not handle required number of simulations ;
2 . we need to present additional risk measures ( such as mean tail loss ) to
the board .
the analytical approach is implemented in a spreadsheet and fully tested
already so there will be no problems
with the algorithm itself .
we need to get together and discuss it implementation .
what do you think ?
tanya