Re: VAR Methodology
Posted by
Javit Hafizoglu on
Aug 31, 2008; 5:20pm
URL: http://quantlib.414.s1.nabble.com/VAR-Methodology-tp6588p6595.html
Dear project members,
I'm not sure if you recevied my e-mail about the riskstats.cpp file. In case, that is the file where some statistical functions are implemented. It would be helpful to read the source code for a beginning.
The next thing is to decide what to implement as a VaR methodology. I am in favor of Monte Carlo VaR which I think would be easier to implement, but I think we should discuss this further.
Quantlib has a very beatifully structured design. We have to get familiar with various pricing engines, processes and the instrument classes. Then, the next step is to discuss how to implement VaR. I would recommend reading source codes in the test-suite. Maybe, we should share the instruments and then implement our solutions piece by piece.
Let me know what you think.
Thank you,
Javit
On Thu, Aug 28, 2008 at 4:15 AM, Alok Jain
<[hidden email]> wrote:
|
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
>
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