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VAR?

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Philip Corriher

VAR?

Hi,

I am a huge fan of you guys.

I am looking for a way to do a Value At Risk calculation as well as lognormally distributed returns etc.

Can you point me in the right direction on what tools to use?

Thanks!

Philip

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LordByron

Re: VAR?

Philip,

For analytic Value -at-Risk calculations, see ql\math\statistics\riskstatistics.hpp. All downside risk measures are there.

For log-normally distributed returns, you can start by having a look at \ql\processes\geometricbrownianprocess.hpp. But, before you have to be familiar with stochastic processes and their use in quantlib.

All the best.

----- Original Message -----

From: [hidden email]

To: [hidden email]

Sent: Friday, July 11, 2008 7:59 PM

Subject: [Quantlib-users] VAR?

Hi,

I am a huge fan of you guys.

I am looking for a way to do a Value At Risk calculation as well as lognormally distributed returns etc.

Can you point me in the right direction on what tools to use?

Thanks!

Philip

-------------------------------------------------------------------------
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along with a healthy diet, reduces your potential for chronic lameness
and boredom. Vote Now at http://www.sourceforge.net/community/cca08

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Debashis Dutta

Re: VAR?

Hi Philip,

Pls keep me in the loop as I am working on VaR. Harun's words are good pointers for you.

Regards,

Debashis

On 13/07/2008, Harun Özkan <[hidden email]> wrote:

Philip,

For analytic Value -at-Risk calculations, see ql\math\statistics\riskstatistics.hpp. All downside risk measures are there.

For log-normally distributed returns, you can start by having a look at \ql\processes\geometricbrownianprocess.hpp. But, before you have to be familiar with stochastic processes and their use in quantlib.

All the best.

----- Original Message -----

From: [hidden email]

To: [hidden email]

Sent: Friday, July 11, 2008 7:59 PM

Subject: [Quantlib-users] VAR?

Hi,

I am a huge fan of you guys.

I am looking for a way to do a Value At Risk calculation as well as lognormally distributed returns etc.

Can you point me in the right direction on what tools to use?

Thanks!

Philip

-------------------------------------------------------------------------
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