Can someone recommend a good book on the details of implementing risk factor mapping for VaR?
Not looking for a high-level discussion. I'd like a reference that goes into the details / techniques of an actual realistic implementation.
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Re: Risk Factor Mapping for VaR
Back in the day, the BARRA risk model was popular: http://www.alacra.com/alacra/help/barra_handbook_US.pdf
Re: Risk Factor Mapping for VaR
Wow! This is good stuff. Very well written. Thanks for linking to it!