Wilmott

Order Statistics for Value at Risk Estimation and Option Pricing

12 November 2018 Editor Comments Off

We apply order statistics to the setting of VaR estimation. Here techniques like historical and Monte Carlo simulation rely on using the k-th heaviest loss to estimate the quantile of the profit and loss distribution […]

A VaR-based Model for the Yield Curve

6 August 2018 Editor Comments Off

An intuitive model for the yield curve, based on the notion of value-at-risk, is presented. It leads to interest rates that hedge against potential losses incurred from holding an underlying risky security until maturity. This […]

You Can’t Always Get What You Want – Estimating the Value at Risk from Historical Data with Limited Statistics – Björn Naundorf, Jörg Raufeisen, Christoph Bennemann & Frederik Herzberg

28 September 2012 Editor Comments Off

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