Market Risk Accelerator Reference Guide v1.9.1WeightedVaRLambda
| Description | Parameter lambda for the exponentially weighted historical tail measures |
|---|
The “WeightedVaRLambda” context value allows a user to override the default value of the decay factor lambda.
See also
- WHS (calculations)
| Description | Parameter lambda for the exponentially weighted historical tail measures |
|---|
The “WeightedVaRLambda” context value allows a user to override the default value of the decay factor lambda.