Use the duration model to estimate the 20-day 90% VaR for the portfolio. Explain carefully the weaknesses

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Use the duration model to estimate the 20-day 90% VaR for the portfolio. Explain carefully the weaknesses of this approach to calculating VaR. Explain two alternatives that give more accuracy.

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Options Futures And Other Derivatives

ISBN: 9780130090560

5th Edition

Authors: John C. Hull

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Question Posted: Oct 18, 2024 07:03 AM

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Use the duration model to estimate the 20-day 90% VaR for the portfolio. Explain carefully the weaknesses of this approach to calculating VaR. Explain two alternatives that give more accuracy.
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Use the duration model to estimate the 20-day 90% VaR for the portfolio. Explain carefully the weaknesses

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Options Futures And Other Derivatives

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