What difference does it make to the VaR calculated in Example 22.2 if the exponentially weighted moving

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What difference does it make to the VaR calculated in Example 22.2 if the exponentially weighted moving average model is used to assign weights to scenarios as described in Section 13.3?

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Risk Management and Financial Institutions

ISBN: 978-1118955949

4th edition

Authors: Hull John

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Question Posted: Jul 30, 2015 03:12 AM

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What difference does it make to the VaR calculated in Example 22.2 if the exponentially weighted moving

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The weights for the historical scenarios in Table 135 must ...View the full answer

Risk Management and Financial Institutions

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