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Var back testing - PowerPoint PPT Presentation

Li, Ming-Yuan Leon

Could Dynamic Variance-Covariance Settings and Jump Diffusion Techniques Enhance the Accuracy of Risk Measurement Models? A Reality Test. Li, Ming-Yuan Leon. Motivations. The importance of VaR (Value at Risk) The limitations of VaR Stress and scenario testing Improve the measurement of VaR.

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Var back testing - PowerPoint PPT Presentation

Li, Ming-Yuan Leon