purbani
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| Total Posts: 54 |
| Joined: Apr 2005 |
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For those of you who may be interested. A small spreadsheet implementation of Boudoukh, Richardson and Whitelaw's MaxVaR or Intra-Horizon VaR may be found here.
Also includes the Expected Shortfall / CVaR and intra-horizon probability calcs. For the Normal and GBM cases only at this point - working on some more realistic distributions but these require monte carlo simulations to arrive at the first passage time. I am interested in any closed form implementations for any other distributions should you know of any. |
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