Any suggestion/reference please?
Bogaso wrote:
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,