Re: VAR Methodology

Posted by Alok Jain-5 on Aug 28, 2008; 1:15am
URL: http://quantlib.414.s1.nabble.com/VAR-Methodology-tp6588p6594.html

That would be a great project. Include me if a project plan is in play. I can throw in my 2 cents. --- On Wed, 8/27/08, Debashis Dutta <[hidden email]> wrote: From: Debashis Dutta <[hidden email]> Subject: Re: [Quantlib-users] VAR Methodology To: "javit" <[hidden email]> Cc: [hidden email] Date: Wednesday, August 27, 2008, 12:44 PM 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 > > ------------------------------------------------------------------------- > This SF.Net email is sponsored by the Moblin Your Move Developer's > challenge > Build the coolest Linux based applications with Moblin SDK & win great > prizes > Grand prize is a trip for two to an Open Source event anywhere in the > world > http://moblin-contest.org/redirect.php?banner_id=100&url=/ > _______________________________________________ > QuantLib-users mailing list > [hidden email] > https://lists.sourceforge.net/lists/listinfo/quantlib-users > > -- View this message in context: http://www.nabble.com/VAR-Methodology-tp18981245p19165667.html Sent from the quantlib-users mailing list archive at Nabble.com. ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users

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