bootstrap-historical-simulation

  1. 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...
    • Nicole Seaman
    • Thread
    • bootstrap-historical-simulation expected-shortfall historical-simulation non-parametric-density-estimation value-at-risk
    • Replies: 0
    • Forum: FRM® Practice Questions
  2. 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
  3. Nicole Seaman

    P2.T5.702. Nonparametric value at risk (VaR)

    Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...
    • Nicole Seaman
    • Thread
    • basic-historical-simulation bootstrap-historical-simulation expected-shortfall nonparametric-value-at-risk quiz var
    • Replies: 0
    • Forum: FRM® Practice Questions
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