Main category
Economics (General Management)
Abstract
The Delta Gamma Vega (DGV) methodology is developed to estimate Value-at-Risk (VaR) for portfolios of equities and equity options in order to comply, in regard to market risk measurement. The model can accurately estimate over-night VaR for portfolios with non-zero
convexity or linear risk.
Further reading
https://ia904701.us.archive.org/30/items/dgv-va-r/DgvVaR.pdf
Do you have problems viewing the pdf-file? Download presentation
here
If the presentation contains inappropriate content, please
report the presentation. You will be redirected to the landing page.
