Subject: Re: "analytical" var implementation in RisktRAC
From: [email-masked]
To: [email-masked], [email-masked]
Cc: [email-masked]
Date: Wed, 28 Feb 2001 05:17:00 -0800 (PST)

Debbie,
I am forwarding to you a 2 page document describing implementation of 
"analytical" VAR in RisktRAC.

Here is why this effort is very important:
1. We need to calculate VAR for other percentile but 5 (1% or even 0.2% as 
mentioned by Rick Buy)
and our simulation model can not handle required number of simulations;
2. We need to present additional risk measures (such as Mean Tail Loss) to 
the Board.

The analytical approach is implemented in a spreadsheet and fully tested 
already so there will be no problems
with the algorithm itself.

We need to get together and discuss IT implementation.

What do you think?

Tanya