age-weighted-historical-simulation

  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...
    • Nicole Seaman
    • Thread
    • age-weighted-historical-simulation correlation-weighted-historical-simulation filtered-historical-simulation non-parametric-density-estimation volatility-weighted-historical-simulation
    • Replies: 0
    • Forum: FRM® Practice Questions
  2. 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
Top