re : current var issues here are the current issues related to var and credit models :
1 . factor loadings ( fl ) for all " primary " commodities :
- the code is tested ;
- factors loadings have been calculated for every primary curve and examined
closely by research ;
- using different number of maturities for fl calculations ( it ) ;
- selecting " good " curves , setting mappings for the others ( rac ) ;
2 . reviewing power var model :
- implementing term structure of correlations ( preliminary research is in
progress by research , to be implemented by it ) ;
- implementing caps in var model ( it ) ;
- jumps for intramonth prices ( re - examine prices behavior , research ) ;
3 . historical ff vols ( research , rac ) ;
4 . interest rate and fx :
- preliminary research is completed ( research ) ;
- implementation in risktrack ( it ) ;
5 . credit model :
- resolving the problem of identical runs giving different results ( it with
research ' s help ) ;
6 . mg metals var model :
- merging with risktrack ( rac , it , research ) ;
- refining the model ( research ) ;
7 . var calculations for uk curves :
- merging with risktrack , elimination spreadsheets ( rac , it , research ) ;
- looking closely at var calculations for each commodity ;
8 . merchant portfolio var :
- unification with equity var model ;
9 . fat tails modeling ( research ) ;
let me know what i missed .
thank you ,
tanya .
re : current var issues
here are the current issues related to var and credit models :
1 . factor loadings ( fl ) for all " primary " commodities :
- the code is tested ;
- factors loadings have been calculated for every primary curve and examined
closely by research ;
- using different number of maturities for fl calculations ( it ) ;
- selecting " good " curves , setting mappings for the others ( rac ) ;
2 . reviewing power var model :
- implementing term structure of correlations ( preliminary research is in
progress by research , to be implemented by it ) ;
- implementing caps in var model ( it ) ;
- jumps for intramonth prices ( re - examine prices behavior , research ) ;
3 . historical ff vols ( research , rac ) ;
4 . interest rate and fx :
- preliminary research is completed ( research ) ;
- implementation in risktrack ( it ) ;
5 . credit model :
- resolving the problem of identical runs giving different results ( it with
research ' s help ) ;
6 . mg metals var model :
- merging with risktrack ( rac , it , research ) ;
- refining the model ( research ) ;
7 . var calculations for uk curves :
- merging with risktrack , elimination spreadsheets ( rac , it , research ) ;
- looking closely at var calculations for each commodity ;
8 . merchant portfolio var :
- unification with equity var model ;
9 . fat tails modeling ( research ) ;
let me know what i missed .
thank you ,
tanya .