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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. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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