Building pessimised scenarios

Risk analysis


One of my first risk projects was building a basic value-at-risk system for the foreign exchange trading activities of Security Pacific Bank. Using simple correlated aggregation based on parameters estimated from a short moving history, it was a distinctly first-generation effort. Even so, the standard daily report showed VAR estimates broken down by trading room and by currency, in addition to the total. This was an early, albeit crude, attempt to identify comparative sources of risk.

In the

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