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

Nicole Seaman

Director of FRM Operations
Staff member
Subscriber
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


YT sub small.png
 
Last edited:

JBuha8769

New Member
Subscriber
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

Director of FRM Operations
Staff member
Subscriber
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.
 
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