Marking-aware sequential VaR recalibration achieves closer-to-target exceedance rates and superior aggregate performance on SPX and QQQ option books compared to reference methods.
Andreas Kaeck, Vincent van Kervel, and Norman J
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Marking-Aware Sequential VaR Recalibration for Standardized Option Books
Marking-aware sequential VaR recalibration achieves closer-to-target exceedance rates and superior aggregate performance on SPX and QQQ option books compared to reference methods.