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3 Quantification of Spread Risk by Means of Historical Simulation
3.1 Introduction
3.2 Risk Categories - a Definition of Terms
3.3 Descriptive Statistics of Yield Spread Time Series
3.4 Historical Simulation and Value at Risk
3.5 Mark-to-Model Backtesting
3.6 VaR Estimation and Backtesting with XploRe
3.7 P-P Plots
3.8 Q-Q Plots
3.9 Discussion of Simulation Results
3.10 XploRe for Internal Risk Models
Bibliography

 
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