Measuring and managing market, credit and Op risk [25]

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Bullet points include: Parametric approaches Establish a parametric distribution for the portfolio return Impact might be assessed analytically or using Monte Carlo simulations Non-parametric approaches Estimate quantiles of return distribution using quantiles of the empirical return distribution Market-implied Estimate future return distribution in part from market-implied data (or directly use such data because we believe it to be more consistent with the question we are attempting to answer, e.g. because price for risk then more comparable with actual market prices)

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