Hi,
If a fixed income security has been issued in sep 2016, it does not have 250 days data.
How does one compute Historical Simulation Var on this ?
Pls help.
Thanks.
Serving the Quantitative Finance Community
Value at Risk w/o 250 days
Last edited by nira on January 24th, 2017, 7:35 am, edited 2 times in total.
Re: Value at Risk w/o 250 days
Sounds like you work in a bank. Why can't you just ask a co-worker?
Re: Value at Risk w/o 250 days
I provide var systems to a bank. And this issue is under discussion ...