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st: risk mesures.
From
Foly Ananou <[email protected]>
To
Stata <[email protected]>
Subject
st: risk mesures.
Date
Tue, 22 May 2012 09:54:36 +0000
Dear all.
I'm trying to make some some work on risk measurement on a portefolio. I simulate a portofolio and i will like to compute the VaR and the Expected Shortfall. Using a monte carlo simulation, i have been able to complute a distribution of lost on the portofolio. Now i will like to compute the VaR and the Expected shortfall. How should i do that ? Actually i have just a dristibution of credit on a portfolio. The data set is not an historical. I simulate the portofolio to learn how to mesure risk. Using the result of the simulation, i have compute the lost at year 1 year 2 .. Using the migration matrices ... I have then be able to calculate the lost at each year through a monte carlo simulation ( i obtain the lost at a given period distribution) ... I would like to compute the VaR and the Expected Shortfall too on my portefolio at each date. How can i compute that on stata ???
Thx.
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