Re: VAR Methodology
Posted by
Debashis Dutta on
Aug 27, 2008; 4:44pm
URL: http://quantlib.414.s1.nabble.com/VAR-Methodology-tp6588p6593.html
Hi Cavit,
Please include me in the project for developing Quantlib in VaR calculation
I am very interested in it as I am a little attached to development of VaR Models , as I developed and empirically tested different VaR Models including POT model and back testing in Matlab as part of my doctoral dissertation as well as I am presently involved in developing and implementing Matlab-based VaR models in some banks in GCC region. So it would be an immense learning experience for me.But I need guidance for Quantlib development as I have never developed anything in Quantlib.
I suggest let us first make an implementation plan step wise for developing QuantLib in VaR calculation and then let us work together. We can also post our progress/queries time to time regarding developent for having advice/suggestions from our friends in Quantlib Fraternity.
So Let us start and Cheers!
Kind Regards,
Debashis
On 26/08/2008, javit <[hidden email]> wrote:
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 <[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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