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historical-simulation

  1. Nicole Seaman

    YouTube T4-02: Historical simulation (HS VaR): Basic and age-weighted

    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
  2. Nicole Seaman

    YouTube T4-01: Three approaches to value at risk (VaR) and volatility

    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...
  3. Nicole Seaman

    YouTube T1-6 What is bootstrap historical simulation?

    The key idea of Boostrap HS is "sampling with replacement:" we randomly retrieve ACTUAL daily returns and use them to simulate forward. Here is David's XLS: http://trtl.bz/2yzTYPM
  4. Nicole Seaman

    YouTube T1-5 What is the (Basic) Historical Simulation approach to value at risk (VaR)?

    Basic historical simulation sorts the actual loss history and, for example, the 95th HS VaR is the 6th worst out of 100 observations. Here is David's XLS: http://trtl.bz/frm-t1-5-hs-var
  5. Nicole Seaman

    P2.T5.710. Bootstrap historical simulation and non-parametric density estimation (Dowd, Ch.4)

    Learning objectives: Apply the bootstrap historical simulation approach to estimate coherent risk measures. Describe historical simulation using non-parametric density estimation. Questions: 710.1. Betty is trying to decide between basic historical simulation (HS) and bootstrap historic...
  6. Nicole Seaman

    P2.T5.707. Historical simulation and lognormal value at risk (VaR) (Dowd)

    Learning objectives: Estimate VaR using a historical simulation approach. Estimate VaR using a parametric approach for both normal and lognormal return distributions. Questions: 707.1. A mutual fund's daily returns for the last 300 trading days is plotted on this histogram. Additionally, the...
  7. A

    P2.dowd.chapter 4.queries

    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. :) Happy learning, Amresh
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