Marking-Aware Sequential VaR Recalibration for Standardized Option Books

By Tenghan Zhong, Keyuan Wu

Published 2026-08-13

Everscope rating

1530

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Marking-Aware Sequential VaR Recalibration. Problem types: Risk Management, Time Series Forecasting, Online Learning.

arXiv:2604.03499 · Code · Paper rankings

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