Pergunta de entrevista da empresa Barclays

Tell me the different ways that you can calculate VaR (Value at Risk).

Respostas da entrevista

Sigiloso

12 de set. de 2012

Typically there are 3 ways in the industry to calculate VaR: 1. Historical (by far the most common, IME) 2. Parametric (not very useful, as returns tend to not be normal, unless you use EVT) 3. Monte Carlo (more often used in fixed income and other credit/debt portfolios than other asset classes)

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Sigiloso

31 de out. de 2011

I think I said Monte Carlo, delta, gamma and Black-Scholes.

1