Historical simulation (finance)
id:
historical-simulation-finance-273-5235551
title:
Historical simulation (finance)
text:
Historical simulation in finance's value at risk (VaR) analysis is a procedure for predicting the value at risk by 'simulating' or constructing the cumulative distribution function (CDF) of assets returns over time. Unlike parametric VaR models, historical simulation does not assume a particular distribution of the asset returns. Also, it is relatively easy to implement. However, there are a couple of shortcomings of historical simulation. Historical simulation applies equal weight to all return
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wiki
category slug:
encyclopedia
description:
original url:
https://en.wikipedia.org/wiki/Historical_simulation_(finance)
date created:
date modified:
2021-09-01T13:12:19Z
main entity:
{"identifier":"Q17139904","url":"https://www.wikidata.org/entity/Q17139904"}
image:
fields total:
13
integrity:
13