Hi,
I want to propose implementing methods of historically simulating VaR and CVaR (AKA ES) in this package. I've read about this topic in the "Risk Management and Financial Institutions (RMFI)" book, and I'm pretty aware of the importance of the context. The text refers to an Excel file that provides implementation examples of simulating VaR and CVaR on historical data in various ways. Furthermore, we can provide implementations of GlueVaR and SlideVaR, etc.
I would be delighted to get your feedback if you're interested.
Hi, I want to propose implementing methods of historically simulating VaR and CVaR (AKA ES) in this package. I've read about this topic in the "Risk Management and Financial Institutions (RMFI)" book, and I'm pretty aware of the importance of the context. The text refers to an Excel file that provides implementation examples of simulating VaR and CVaR on historical data in various ways. Furthermore, we can provide implementations of GlueVaR and SlideVaR, etc. I would be delighted to get your feedback if you're interested.