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- May 4th, 2012, 12:20 pm
- Forum: Technical Forum
- Topic: VaR for an Equity/Credit porfolio
- Replies: 2
- Views: 13654
VaR for an Equity/Credit porfolio
Thank you for the reply. However what I am looking for is an essential parametric framework for the VaR calculation of a multi-asset portfolio.
- May 4th, 2012, 8:36 am
- Forum: Technical Forum
- Topic: VaR for an Equity/Credit porfolio
- Replies: 2
- Views: 13654
VaR for an Equity/Credit porfolio
Hi, do you have any good reference/paper related to the VaR calculation for a porfolio made of equity options and CDS?