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. :)