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st: risk mesures.


From   Foly Ananou <anofos@hotmail.com>
To   Stata <statalist@hsphsun2.harvard.edu>
Subject   st: risk mesures.
Date   Tue, 22 May 2012 09:54:36 +0000

 Dear all.  
I'm trying to make some some work on risk measurement on a portefolio.    I simulate a portofolio and i will like to compute the VaR and the   Expected Shortfall.  Using a monte carlo simulation, i have been able to complute a  distribution of lost on the portofolio. Now i will like to compute the   VaR and the Expected shortfall. How should i do that ?  Actually i have just a dristibution of credit on a portfolio. The data   set is not an historical. I simulate the portofolio to learn how to   mesure risk. Using the result of the simulation, i have compute the   lost at year 1 year 2 .. Using the migration matrices ... I have then   be able to calculate the lost at each year through a monte carlo   simulation ( i obtain the lost at a given period distribution) ... I   would like to compute the VaR and the Expected Shortfall too on my   portefolio at each date. How can i compute that on stata ??? 
Thx. 
 		 	   		  
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