Message-ID: <22367589.post@talk.nabble.com>
Date: 2009-03-06T07:45:04Z
From: Christofer Bogaso
Subject: Commodity swap?
Hi, currently I am working on commodity swap. Can anyone provide me some good
references on Risk management for commodity sawp i.e. how to calculate Value
at Risk for a portfolio having atleast one position in commodity swap,
decomposition of risk etc under various methodologies like parametric,
simulation etc? Any good book and/or online references will be highly
appreciated. Is there any implementation on R itself?
Also, if possible, information on where to get data on commodity swap over
net.
Thanks and regards,
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