Error of VAR by overlapping intervals

There are many applications in which the long-term statistical properties of short-term financial time series are required.

For example, we might be interested in obtaining the 1% worst monthly return. That is, out of 200 months, we need the second-worst monthly performance. Requirements for such statistics arise, for example, when we look at value-at-risk estimates using the historical simulation method. In this method, it is common to look at the actual historical movements in the risk factors

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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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