Scaling conditional tail probability and quantile estimators

A key issue for risk management is to decide the relevant horizon associated with risk measurement. Many different horizons may be relevant, from short (for example, daily) to long (for example, monthly) time frames, and a risk manager must be able to provide measures across a range of horizons.1 This article measures risk at different horizons using volatility forecasts at high frequency as inputs that are then scaled for longer horizons.

[image] - Scaling conditional tail probability and

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Calibrating interest rate curves for a new era

Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…

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