A gentle introduction to the RM 2006 methodology
Gilles Zumbach
We present the basic concepts used in market risk evaluations, as well as the standard methodologies to compute quantitatively the risk. A new methodology is introduced with the goal to incorporate the state-of-the-art knowledge about financial time series. The performance evaluation of risk methodologies is explained, and the performancemeasures of the main risk methodologies are compared. The presentation stays at the conceptual level and uses the minimum number of formula needed for clarity. Download this document – A gentle introduction to the RM 2006 methodology (PDF Format, 572 KB) |
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