Risk Factor Mapping for VaR
Posted: October 5th, 2016, 5:59 pm
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.
Not looking for a high-level discussion. I'd like a reference that goes into the details / techniques of an actual realistic implementation.