Historical Simulation
- Thread starter hateeque
- Start date
- Tags historical-simulation
Hello @hateeque
Just a reminder that with it being the week of the exam, we ask that our members use the search function in the forum before posting, as many times their questions have already been previously answered. Here are threads that I found with a quick search. I searched for the term "6th worst" and MANY threads came up but here are just a couple of examples:
Thank you and good luck on the exam!
Just a reminder that with it being the week of the exam, we ask that our members use the search function in the forum before posting, as many times their questions have already been previously answered. Here are threads that I found with a quick search. I searched for the term "6th worst" and MANY threads came up but here are just a couple of examples:
- https://www.bionicturtle.com/forum/threads/return-aggregation-var.12365/post-54964
- https://www.bionicturtle.com/forum/...-for-10-is-it-the-10th-lowest.6958/post-24053
Thank you and good luck on the exam!
@Detective is correct 
In addition to @Nicole Seaman 's links, you can see ~5:00 minute mark at my video on HS VaR https://www.bionicturtle.com/forum/...mulation-hs-var-basic-and-age-weighted.22461/ where the example is 100 days. Dowd retrieves the 6th worst per (1 - C)*k + 1 = (1-95%)*100 + 1 = 5+1 = 6, but Jorion would retrieve the 5th; and there are valid interpolations between 5th and 6th (e.g., Allen's density type approach). As Detective says, GARP is very well aware (we gave so much feedback several years ago!) and the exam will not jam you up on the difference.
In addition to @Nicole Seaman 's links, you can see ~5:00 minute mark at my video on HS VaR https://www.bionicturtle.com/forum/...mulation-hs-var-basic-and-age-weighted.22461/ where the example is 100 days. Dowd retrieves the 6th worst per (1 - C)*k + 1 = (1-95%)*100 + 1 = 5+1 = 6, but Jorion would retrieve the 5th; and there are valid interpolations between 5th and 6th (e.g., Allen's density type approach). As Detective says, GARP is very well aware (we gave so much feedback several years ago!) and the exam will not jam you up on the difference.
Hello @hateeque
Our forum is set up in a very organized format with useful search and tag functions so setting up a completely separate forum just for those taking the exam is not something that would be productive. We actually have a forum thread regarding this HERE. Most of our members follow general proper forum etiquette and search the forum before posting new threads instead of taking the "lazy path" and posting a new thread each time they have a question. That is what makes our forum such a valuable resource. It is very easy to search for the concept you have a question about and, many times, your question has already been answered. This benefits everyone, as you don't need to wait for someone to answer your question and it doesn't waste anyone else's time answering the same question numerous times. This week just before the exam, it is especially important to search before posting because David is only human and will not be able to answer every single question that is asked.
Thank you,
Nicole
Our forum is set up in a very organized format with useful search and tag functions so setting up a completely separate forum just for those taking the exam is not something that would be productive. We actually have a forum thread regarding this HERE. Most of our members follow general proper forum etiquette and search the forum before posting new threads instead of taking the "lazy path" and posting a new thread each time they have a question. That is what makes our forum such a valuable resource. It is very easy to search for the concept you have a question about and, many times, your question has already been answered. This benefits everyone, as you don't need to wait for someone to answer your question and it doesn't waste anyone else's time answering the same question numerous times. This week just before the exam, it is especially important to search before posting because David is only human and will not be able to answer every single question that is asked.
Thank you,
Nicole
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