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Marking-Aware Sequential VaR Recalibration for Standardized Option Books

Zhong, Tenghan et al.
arXiv (All) · Papers
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risk-managementstatistical-finance
Daily Value-at-Risk (VaR) for option books requires more than an accurate quantile forecast. It first requires a precise definition of the loss target. Before any model is evaluated, the protocol must fix the book construction rule, the marking rule for the next day, the loss scale, and the informat
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