<t>All,Ages since I posted here - hello again to all.I have been playing with PCA, and I like it. But I am unsure how to progress. I have several different swap curves (let's just look at 3), in markets where both the spot and the swap curves are correlated and cointegrated and serially auto- and cr...

<t>Hmm... I currently do a historic VaR, but don't weight it. Because of that, the enormous vol of the last few years crops up in current VaR, so I don't use it in a serious manner.What I'm planning is a lovely big MC engine which will solve all my problems - and generate a big pile of new ones...Ri...

<t>Thanks for the replies.You're right, the best solution would be to do daily VaR and scale up (or not even scale up - just run with daily VaR).Unfortunately, I wasn't quite clear in my first question. In fact, for some of the assets (freight FFAs and underlyings) I have daily historical data and f...

Hi Wilbat,I'm starting to model FFAs now - are you still into this? I thought I'd bring this thread back to life.Anybody out there got experience of FFAs? I'd be really interested to hear anything anyone's got to say.

<t>Evenin' all!I'm building a nice simple parametric VaR model, and need some advice.1) I'm trying to find a good lamda value, and think I might as well at least start off at 0.94 a la risk metrics etc. However, I'm not sure if it's as simple as that. My time horizon is one month, and I have daily d...

<t>Hello Boys and Girls,I've just started looking into this too.I agree, a bit of empirical analysis should give you reasonable option pricing via BS and vol smiles.But I'm not intersted in options (yet).I'm thinking about risk managing books of the underlying, so the fat tails are of concern to me....