Market Risk Metrics – Volatility Trend Analysis
2 mins read Trailing volatility or Volatility Trend Analysis Trailing Volatility or volatility Trend Analysis is the analysis of volatility trend lines. Volatility
2 mins read Trailing volatility or Volatility Trend Analysis Trailing Volatility or volatility Trend Analysis is the analysis of volatility trend lines. Volatility
3 mins read The put premium gives the conditional expectation of loss beyond the worst case loss, if the worst case loss occurred.
2 mins read I recently ran a presentation for a client where I had to justify setting risk limits at a pre-defined threshold
< 1 min read 9 commonsense Rules for implementing Value at Risk Earlier today, I wrote about the Jorian-Taleb debate on the relative
5 mins read One of the most common question I face as a consultant deals with how do you actually implement Value at Risk. Here implementation is used more along the lines of interpretation of value at risk rather than physical implementation. Clients understand that systems need to be purchased, controls need to be created, data needs to be gathered but once every thing is in place and you are getting your 2,500 risk reports every day, what do you do next. How do you actually read the VaR reports and how do you link it to controls
3 mins read Treasury Risk reference Treasury Risk Reference for Risk Metrics, Holding Period Return, Standard Deviation/ Volatility, Annualized Return , Annualized Volatility,