YouTube T4-02: Historical simulation (HS VaR): Basic and age-weighted

[Nicole Seaman]

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

 

[JBuha8769]

Hi Nicole/Dave,

The link seems to be not working and is blocked by bitly, is it possible to upload the file here?

Many thanks!

 

[Nicole Seaman]

Hi Nicole/Dave,

The link seems to be not working and is blocked by bitly, is it possible to upload the file here?

Many thanks!

@JBuha8769

I've fixed the link above. Unfortunately, some of our bitly links are not working. I've contacted them to see what is going on. Please let us know if you find any others. Thank you.