How can historical simulation be used to calculate a one-day 99% VaR for the credit risk of

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How can historical simulation be used to calculate a one-day 99% VaR for the credit risk of bonds in the trading book? What are the disadvantages?

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Risk Management And Financial Institutions

ISBN: 9781118269039

3rd Edition

Authors: John C. Hull

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Question Posted: Jul 27, 2024 02:02 AM

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How can historical simulation be used to calculate a one-day 99% VaR for the credit risk of

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Risk Management And Financial Institutions

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