Re: VAR Methodology

Posted by javit on Aug 27, 2008; 7:32pm
URL: http://quantlib.414.s1.nabble.com/VAR-Methodology-tp6588p6598.html

Debashis,

Okay, let's start by reading the riskstats.cpp file to see what was developed.

Thank you,
Javit

Debashis Dutta wrote

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 <[e-mail]> 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 <[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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