CONTENTS
The elements of risk: characterising risk
Quantitative measurement of risk
The normal distribution and VaR
Validity of the volatility-correlation VaR estimate
How to calculate value-at-risk
Variance–covariance, analytic or parametric method
Comparison with the historical approach
Hypothetical portfolio VaR testing
Bank of England comparison of VaR models
4 VALUE-AT-RISK FOR FIXED INTEREST INSTRUMENTS
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