nonlinear-portfolio
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P1.T4.24.3 Linear and non-linear portfolios and the delta-normal approach
Learning Objectives: Explain and give examples of linear and non-linear portfolios. Describe and explain the historical simulation approach for computing VaR and ES. Describe the delta-normal approach and use it to calculate VaR for non-linear derivatives. 24.3.1 Lenny runs a...- Nicole Seaman
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- delta-normal historical-simulation-approaches linear-portfolio non-linear-derivatives nonlinear-portfolio
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