historical-simulation-approaches

Learning Objectives: Explain and give examples of linear and non-linear portfolios. Describe and explain the historical simulation approach for computing VaR and ES. Describe the delta-normal approach and use it to calculate VaR for non-linear derivatives. 24.3.1 Lenny runs a...

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: 711.1. Bertha the risk analyst has sorted...