Nassim Taleb attacks VaR in Congress Nassim Taleb attacks VaR in Congress The risk measuments methods were used by Wall Street to hide risks and collect bonuses. Nassim [...]
Bootstrapping value at risk (VaR) Bootstrapping value at risk (VaR) This is an illustration, using a simple portfolio of four stocks over one week, of the bootstrap [...]
Three approaches to value at risk (VaR) Three approaches to value at risk (VaR) This is a brief introduction to the three basic approaches to value at risk (VaR): [...]
Historical simulation, value at risk (VaR) Historical simulation, value at risk (VaR) This is an illustration of historical simulation using a single-asset (versus a portfolio). The asset ...
Liquidity adjusted value at risk (LVaR) Liquidity adjusted value at risk (LVaR) Liquidity adjusted value at risk (LVaR)adjusts (increases) VaR as a function of the bid-ask spread. [...]