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Swap help

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bogaso
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Joined: March 3rd, 2008, 7:21 am

Swap help

March 12th, 2009, 5:27 pm

Hi, currently I am working on commodity swap. Can anyone provide me some good references on Risk management for commodity sawp i.e. how to calculate Value at Risk for a portfolio having atleast one position in commodity swap, decomposition of risk etc under various methodologies like parametric, simulation etc? Any good book and/or online references will be highly appreciated. Is there any implementation on R/Matlab/Mathematica available over net? Also, if possible, information on where to get data on commodity swap over net. Thanks and regards,
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bogaso
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Joined: March 3rd, 2008, 7:21 am

Swap help

March 19th, 2009, 10:05 am

Anyone please?
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Wibble
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Joined: January 23rd, 2004, 3:15 pm

Swap help

March 19th, 2009, 2:27 pm

the riskmetrics technical paper
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priz
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Joined: March 13th, 2009, 1:16 am

Swap help

March 19th, 2009, 5:42 pm

QuoteOriginally posted by: bogasoAnyone please?Try www.gloriamundi.org , they have VaR papers for almost everything.For Swaps one side is floating and other side is fixed , and depending on which side you have in your portfolio you can calculate at risk components for it.
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