Re: VAR Methodology

Posted by javit on Aug 26, 2008; 5:08pm
URL: http://quantlib.414.s1.nabble.com/VAR-Methodology-tp6588p6592.html

I'm very interested in developing QuantLib in VaR calculations. Please feel free to contact me if you plan on any projects.

Thank you,
Cavit (Javit) Hafizoglu

Ferdinando Ametrano wrote

On Thu, Aug 14, 2008 at 3:11 PM, ssykowski <[e-mail]> 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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