surrey manm279 risk management alternative methodologies for calculating financial risk
Question: Question 1 a) Explain and compare three alternative methodologies for calculating Value at Risk (VaR) using market prices and explain which VaR methodology is most commonly used by: Companies Banks b) Calculate the 1-day 95% VaR for each of the following individual positions and explain your results. You are not required to calculate the portfolio VaR. i) $5 million (nominal) annual bond with modified […]