VaR and ES of the cumulative return over the first steps steps of simulated paths — the multi-step answer, whose distribution under GARCH is not the one-step family. Empirical: the ⌈level·paths⌉-th worst sum and the mean of the sums at or below it.
steps
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VaR and ES of the cumulative return over the first
stepssteps of simulated paths — the multi-step answer, whose distribution under GARCH is not the one-step family. Empirical: the ⌈level·paths⌉-th worst sum and the mean of the sums at or below it.