Re: VAR Methodology
Posted by
Sun, Xiuxin on
Aug 28, 2008; 2:33am
URL: http://quantlib.414.s1.nabble.com/VAR-Methodology-tp6588p6597.html
I am also interesting, please include me.
thanks,
sun
|
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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