In this video, David shows us exactly how we calculate expected shortfall under basic historical simulation. Expected shortfall is both desirable and timely. It's desirable because it is coherent, satisfies all four conditions of coherence, including subadditivity, whereas var does not. Second...
Basic historical simulation value at risk (HS VaR) sorts the returns in the window and locates the return ranked (1-confidence)%*K+1. Age-weighted HS assigns greater weight to more recent returns.
David's XLS is here: https://trtl.bz/2BmVoxW
The three approaches are 1. Parametric; aka, analytical; 2. Historical simulation; and 3. Monte Carlo simulation (MCS). The parametric approach assumes a clean function, the other two work with messy data. Historical simulation is betrayed by a histogram, MCS is betrayed by a random number...
Learning objectives: Apply the bootstrap historical simulation approach to estimate coherent risk measures. Describe historical simulation using non-parametric density estimation.
710.1. Betty is trying to decide between basic historical simulation (HS) and bootstrap historic...
Learning objectives: Estimate VaR using a historical simulation approach. Estimate VaR using a parametric approach for both normal and lognormal return distributions.
707.1. A mutual fund's daily returns for the last 300 trading days is plotted on this histogram. Additionally, the...
Hi David/other members,
1.AIMs don't mention order stats and bootstrap methods to estimate confidence intervals. Can we skip them?
2. Could you please explain correlation weighted HS?
Waiting on chapter 3 queries as well. :)