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Daily Archives: March 20, 2010

Silver price return distribution for risk - 8 year history

Calculating Value at Risk Excel

Calculating Value at Risk Excel Our second  course on Risk Management takes a deeper look at the calculation and the methods behind Value at Risk (VaR). We start with a review of calculation methods including VaR by variance-covariance, VaR by historical simulation and VaR by Monte

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Calculating Value at Risk (VaR): VaR Methods

All methods have a common base but then diverge in how they actually calculate Value at Risk (VaR). They also have a common problem in assuming that the future will follow the past. This shortcoming is normally addressed by supplementing any VAR figures with appropriate sensitivity analysis and/or stress testing. In general the VAR calculation follows five steps

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Master Class: Derivative Products: Swaps

Swaps This is an agreement between two parties, usually institutions, to exchange cash flows according to a predefined calculation at some specified periodic intervals in the future. The calculation may be based on the future value of interest rates, foreign exchange rates or some other