non-parametric-density-estimation

  1. Nicole Seaman

    P2.T5.22.4. Semi-parametric historical simulation value at risk (HS VaR)

    Learning objectives: Compare and contrast the age-weighted, the volatility-weighted, the correlation-weighted, and the filtered historical simulation approaches. Identify advantages and disadvantages of non-parametric estimation methods. Questions: 22.4.1. Sally sorted her portfolio's daily...
  2. Nicole Seaman

    P2.T5.22.3 Historical simulation approaches to value at risk (VaR) and expected shortfall (ES)

    Learning objectives: Apply the bootstrap historical simulation approach to estimate coherent risk measures. Describe historical simulation using non-parametric density estimation. Questions: 22.3.1. Which of the following is an essential difference between BASIC historical simulation and...
  3. 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...
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