Non-parametric methods of calculating VaR and ES.

[[email protected]]

Hello,

Could you please explain in detail volatility-weighted HS, correlation-weighted HS and FHS approaches? How are these approaches applied in the real-world?

Thanks,

Taranpreet Singh

 

[David Harper CFA FRM]

Hi @[email protected] We're busy updating the 2020 materials (which includes the revised note for MR-2; ie., Dowd on HS approaches), so I don't want to currently distract by trying to write a "fresh essay" to your open-ended question: we'll have a note on this. The revised note will contains improvements, to your question; in the meantime, hopefully somebody can help with real-world applications. FYI, we also have forum "tags"

eg., this tag https://forum.bionicturtle.com/tags/age-weighted-historical-simulation/ will lead you to this video
https://forum.bionicturtle.com/thre...mulation-hs-var-basic-and-age-weighted.22461/

Thanks,