Re: VAR Methodology

Posted by Ferdinando M. Ametrano-3 on Aug 26, 2008; 9:19am
URL: http://quantlib.414.s1.nabble.com/VAR-Methodology-tp6588p6591.html

On Thu, Aug 14, 2008 at 3:11 PM, ssykowski <[hidden email]> wrote:
> We are evaluating different risk libraries for VaR. Can anyone point me to
> the details of the approach used by QuantLib.

there is not a proper VAR model in QuantLib, only the ability for a
statistic accumulator to calculate VAR and assorted tail risk measures
for a given observed distribution, with and without Gaussian
assumption

ciao -- Nando

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