Monte Carlo VaR with one basic asset Financial risk forecasting errata

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 \(y_{t+1,t}\)

Typo in equation for ES for the normal
Figure 8.1 backtesting
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