Hello all, how can I run a global VaR in Stata?

04 April 2019 1 5K Report

Coding for global VaR in Stata. Thank you

Even though I'm not that familiar with Stata, i doubt there is a routine to estimate VaR, which is applicable for everyone and without strong assumptions. Even CreditMetrics or CreditRisk+ require you to heavily calibrate to the portfolio (with most likely different results).

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