• David Lee deposited Term of Structure of Implied Volatility Model in the group Group logo of Scholarly CommunicationScholarly Communication on Humanities Commons 6 months, 1 week ago

    Equity value at risk (VaR) model requires implied volatilities with respect to various indices and maturities, which range from three months to five years. A model is presented for generating a term-structure of implied equity index volatilities for use in calculating VaR.