Jawwad

The many shades of crude oil – part i

Correlation describes the strength and direction of a linear relationship between two quantitative variables. In other words it is a measurement of the degree of association between two sets of numbers that describes how closely they track or are related to one another. Except for Crude Palm Oil the data used for commodities are cash…Read more

Value at Risk – Historical Simulation

Historical simulation is a non-parametric approach of estimating VaR, i.e. the returns are not subjected to any functional distribution. VaR is estimated directly from the data without deriving parameters or making assumptions about the entire distribution of the data. This methodology is based on the premise that the pattern of historical returns is indicative of…Read more