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2013 Apr 06
1
Value at Risk using a volatility model?
Hi,
I want to calculate the Value at Risk with using some distirbutions and a
volatility model.
I use the following data(http://uploadeasy.net/upload/cdm3n.rar) which are
losses (negative returns) of a company of approx. the last 10 years. So I
want to calculated the Value at Risk, this is nothing else than the
quantile. Since I have losses I consider the right tail of the distribution.
Consider a first simple example, I assume the returns to follow...