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Hello , here are the details : Fix a time horizon Twhere b are \gamma are an integrable processs , for all T>t>0 Nt is a poisson process , the jumps are nonnegative ie : Y_i are iid and Y_1 \geq 0the process : is integrable.Now we define the value at risk by : where : Now in order to test some theoritical bounds for small \alpha , I need to plot the curve for the VAR , I have read that Monte carlo doesn't work for small \alpha and EVT is a better approach ,
Hello , here are the details : Fix a time horizon T
where b are \gamma are an integrable processs , for all T>t>0
Nt is a poisson process , the jumps are nonnegative ie : Y_i are iid and Y_1 \geq 0
the process : is integrable.
Now we define the value at risk by :
where :
Now in order to test some theoritical bounds for small \alpha , I need to plot the curve for the VAR , I have read that Monte carlo doesn't work for small \alpha and EVT is a better approach ,
