confidence interval
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Dowd, Page 11, Evaluate estimators of risk measures by estimating their SE
Hello everyone, I'm new and still try to orientate myself in the Forum. Therefore if this post belongs to another tag/thread, please guide me. On page 11 of Dowd (Market Risk) the 90% Confidence invertal for 95% Var was calculated. I understand most of it, but I don't understand how p (bin...- TNguy5296
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- confidence interval dowd market risk measurement & management var
- Replies: 1
- Forum: P2.T5. Market Risk Measurement & Management
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Computation of the standard error of a coherent risk measure
Dear all, studying the computation of se(q) for the confidence interval of a coherent risk measure (here VaR) in the GARP books, I noticed two inconsistencies. 1. f(q) is indicated as "= 1-0.9446-0.0450" while I believe it would only make sense to compute it as "f(q)=1-(0.9446-0.0450)", i.e...- Michael Mayer
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- confidence interval dowd dowd-chapter-3 market risk standard error var
- Replies: 3
- Forum: P2.T5. Market Risk Measurement & Management