Monte Carlo VaR with one basic asset Financial risk forecasting errata

Monte Carlo VaR with one basic asset Financial risk forecasting errata

Monte Carlo VaR with one basic asset

May 24, 2011

item 2 on page 133 has an incorrect second index for the y. It should be $y_{t + 1, i}$ not $y_{t + 1, t}$

Typo in equation for ES for the normal

Figure 8.1 backtesting

Financial Risk Forecasting

Market risk forecasting with R, Julia, Python and Matlab. Code, lecture slides, implementation notes, seminar assignments and questions.
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