Market Risk [8]

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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)

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