J**********y
发帖数: 1891 | 1 听说VaR不是很有用，对于Equity fund/book来说；
而是基于factor model的，
但我不太清楚具体怎么基于factor model比如BARRA来做这个risk management,
怎么对付jump risk的呢？
还请高人指点。非常感谢。 |
s*******0
发帖数: 3461 | 2 for jump process
you may use simulation process of jump process such as VG and NIG
one book " financial modeling with jump process" a typical book
wish could helpful |
J**********y
发帖数: 1891 | 3 thanks...
i am looking for 实际equity fund中实用的risk management方法。。。
他们用financial modeling with jump process吗？
听起来有点象是sell-side derivative的东东。。。
【在 s*******0 的大作中提到】
: for jump process
: you may use simulation process of jump process such as VG and NIG
: one book " financial modeling with jump process" a typical book
: wish could helpful
|
L******g
发帖数: 1371 | 4 did u guys hear about barra?
----------
小撸怡情，大撸伤身，强撸灰飞烟灭
先撕长裙，后撕短裤，百撕不得骑姐 |
a***x
发帖数: 26368 | 5 do you read?
【在 L******g 的大作中提到】
: did u guys hear about barra?
: ----------
: 小撸怡情，大撸伤身，强撸灰飞烟灭
: 先撕长裙，后撕短裤，百撕不得骑姐
|
