loss-history

  1. Nicole Seaman

    YouTube T1-5 What is the (Basic) Historical Simulation approach to value at risk (VaR)?

    Basic historical simulation sorts the actual loss history and, for example, the 95th HS VaR is the 6th worst out of 100 observations. Here is David's XLS: http://trtl.bz/frm-t1-5-hs-var
    • Nicole Seaman
    • Thread
    • basic-historical-simulation historical-simulation loss-history nonparametric-value-at-risk value-at-risk var youtube
    • Replies: 3
    • Forum: P1.T1 Foundations of Risk
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