Abstract
Our VaR model typically uses 2 years of data or 500 returns, and it generates, via mirroring, twice that number of scenario returns.
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Auer, M. (2018). A Monte Carlo Modification. In: Hands-On Value-at-Risk and Expected Shortfall. Management for Professionals. Springer, Cham. https://doi.org/10.1007/978-3-319-72320-4_10
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DOI: https://doi.org/10.1007/978-3-319-72320-4_10
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Publisher Name: Springer, Cham
Print ISBN: 978-3-319-72319-8
Online ISBN: 978-3-319-72320-4
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