Parametric modelling
Style-based value-at-risk for UK equities
Risk measures
A mixed-up smile
Implied volatility
VaR-x: Fat tails in financial risk management
To ensure a competent regulatory framework with respect to value-at-risk (VaR) for establishing a bank's capital adequacy requirements, as promoted by the Basel Committee on Banking Supervision, the parametric approach for estimating VaR needs to…