Lee, Brendan Chee-Seng, Banking & Finance, Australian … - 2007
processwith discrete jumps at random points in time (Poisson Jump Diffusion Model). We also apply a purely discontinuousmodel that … resulting parameters to obtain daily estimates of VaR. In order to obtain the VaRestimates for the Poisson Jump Diffusion Model … calculating VaR, such as that suggested by J.P.Morgan?s RiskMetrics. Our results show that whilst the Poisson Jump Diffusion model …