Explain the historical simulation method for calculating VaR.

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Fundamentals Of Futures And Options Markets

ISBN: 9781292422114

9th Global Edition

Authors: John Hull

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Question Posted: Mar 05, 2024 01:00 AM

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Describe three ways of handling interest-rate-dependent instruments when the model building approach is used to calculate VaR. How would you handle interest-rate-dependent instruments when historical...
Describe three ways of handling interest-rate-dependent instruments when the model building approach is used to calculate VaR. How would you handle interest-rate-dependent instruments when historical...
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Explain the historical simulation method for calculating VaR.

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The historical simulation method involves constructing N scenarios of wha...View the full answer

Fundamentals Of Futures And Options Markets

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