Monte Carlo VaR with one basic asset
May 24, 2011
item 2 on page 133 has an incorrect second index for the y. It should be \(y_{t+1,i}\) not \(y_{t+1,t}\)
May 24, 2011
item 2 on page 133 has an incorrect second index for the y. It should be \(y_{t+1,i}\) not \(y_{t+1,t}\)