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VAR Methods for Estimating Risk

  • Historical based Approach
    • Parametric Approach
      • Exponential smoothing
      • Risk Metrics (EWMA model with λ = 0.94)
      •  Typical example of parametric approach is the delta-normal VAR
    • Non-Parametric Approach
      • Historical Simulation
      • Multivariate Density Estimation
    • Hybrid Approach
  • Implied Volatility based Approach

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