© K. Cuthbertson and D. Nitzsche Figures for Chapter 24 VaR : STATISTICAL ISSUES (Financial Engineering : Derivatives and Risk Management)

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© K. Cuthbertson and D. Nitzsche Figures for Chapter 24 VaR : STATISTICAL ISSUES (Financial Engineering : Derivatives and Risk Management)

© K. Cuthbertson and D. Nitzsche Figure 24.1 : Daily exchange rate returns (DM - pound sterling)

© K. Cuthbertson and D. Nitzsche Figure 24.2(a) : SMA volatility (DM - pound sterling) 30 day window 125 day window 252 day window

© K. Cuthbertson and D. Nitzsche Figure 24.2(b) : EWMA volatility (DM - pound sterling)

© K. Cuthbertson and D. Nitzsche Figure 24.3 : Histogram of call premium for 100 ‘runs’