srinir Sep 26, 2018 #21 Secret Santa said: imputes the capital from your expected risk (for example, capital = 100 x var or capital = GMV/5 etc). More... Could you give me more color on 100x var? Is it one day var @ 5% significance? I have seen CVaR been used instead of VaR. What is GMV?
Secret Santa said: imputes the capital from your expected risk (for example, capital = 100 x var or capital = GMV/5 etc). More... Could you give me more color on 100x var? Is it one day var @ 5% significance? I have seen CVaR been used instead of VaR. What is GMV?