Serving the Quantitative Finance Community

VaR for an Equity/Credit porfolio

Post Reply
 
User avatar
vhulk
Topic Author
Posts: 0
Joined: April 30th, 2012, 12:24 pm

VaR for an Equity/Credit porfolio

May 4th, 2012, 8:36 am

Hi, do you have any good reference/paper related to the VaR calculation for a porfolio made of equity options and CDS?
Top
 
User avatar
wdl
Posts: 2
Joined: October 11th, 2010, 2:59 pm

VaR for an Equity/Credit porfolio

May 4th, 2012, 10:41 am

Here is a nice reference:http://www.thetaris.com/wiki/Value_at_Risk
Top
 
User avatar
vhulk
Topic Author
Posts: 0
Joined: April 30th, 2012, 12:24 pm

VaR for an Equity/Credit porfolio

May 4th, 2012, 12:20 pm

Thank you for the reply. However what I am looking for is an essential parametric framework for the VaR calculation of a multi-asset portfolio.
Top
© All material, including contents and design, copyright Wilmott Electronic Media Limited | Privacy | About | Contact us