VAR aggregation

[ajsa]

Hi David,

Could you elaborate how VARs across assets can be aggregated?

Thanks.

 

[David Harper CFA FRM]

ajsa - If you don't mind, I will make this a blog post ASAP and link back ... it's a big topic, I am a little unsure even where to start, but thematic in FRM of course ... i'd like to see if i can pull a few threads together. Thanks, David

 

[andrew888]

Hi David,

I am interested in this topic as well (not only across asset but also by any grouping in general). Did you post any reply on this which is not on this thread?

Thanks
Andrew

 

[David Harper CFA FRM]

Hi Andrew - I didn't get to a proper rely on this, the topic is so huge i didn't know where to start. FYI, a good book on VaR aggregation is Carol Alexander's Market Risk Analysis: Value at Risk Models (vol 4)
...btw, she has a forum supporting her 4-book masterpiece here: http://www.carolalexander.org/phpBB/index.php
...she's the real expert

Thanks, David