Historical simulation method - Revision history

imported>Doug Williamson: Add link.

2021-03-23T00:01:02Z

Add link.

← Older revision		Revision as of 00:01, 23 March 2021
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	== See also ==		== See also ==
	* [[Delta-normal method]]		* [[Delta-normal method]]
			* [[Ex-ante]]
	* [[Historical method]]		* [[Historical method]]
	* [[Monte Carlo method]]		* [[Monte Carlo method]]

imported>Doug Williamson: Layout.

2019-12-24T16:40:55Z

Layout.

← Older revision		Revision as of 16:40, 24 December 2019
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	~~'''~~1.'''		1. ''Value at Risk''.

	In Value at Risk analysis, an alternative to the Delta-normal method of calculating the underlying probability distribution.		In Value at Risk analysis, an alternative to the Delta-normal method of calculating the underlying probability distribution.

imported>Doug Williamson: Layout.

2016-10-30T15:10:01Z

Layout.

← Older revision		Revision as of 15:10, 30 October 2016
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	1.		'''1.'''

	In Value at Risk analysis, an alternative to the Delta-normal method of calculating the underlying probability distribution.		In Value at Risk analysis, an alternative to the Delta-normal method of calculating the underlying probability distribution.

	~~This~~ is conceptually the simplest alternative method to the delta-normal. There is no assumption about how markets operate.
			Historical simulation is conceptually the simplest alternative method to the delta-normal. There is no assumption about how markets operate.

	For any given portfolio held today, you calculate repeatedly its hypothetical value change as if it had been held for a one day period in the past, using the relevant market price changes and other market rate changes for each successive day.		For any given portfolio held today, you calculate repeatedly its hypothetical value change as if it had been held for a one day period in the past, using the relevant market price changes and other market rate changes for each successive day.
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	At each step, you do a full valuation and calculate the ex-post or historical value changes over one day.		At each step, you do a full valuation and calculate the ex-post or historical value changes over one day.

	Finally, tabulate the empirical distribution of one-day value changes and identify the ~~lower~~ 95% point. This point is the one-day 95% VaR.		Finally, tabulate the empirical distribution of one-day value changes and identify the adverse 95% point. This point is the basis of the one-day 95% VaR.


	2.		'''2.'''

	Similar methods in other risk analysis applications.		Similar methods in other risk analysis applications.

imported>Doug Williamson: Expand.

2016-08-14T14:01:38Z

Expand.

← Older revision		Revision as of 14:01, 14 August 2016
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			1.

	In Value at Risk analysis, an alternative to the Delta-normal method of calculating the underlying probability distribution.		In Value at Risk analysis, an alternative to the Delta-normal method of calculating the underlying probability distribution.

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	Finally, tabulate the empirical distribution of one-day value changes and identify the lower 95% point. This point is the one-day 95% VaR.		Finally, tabulate the empirical distribution of one-day value changes and identify the lower 95% point. This point is the one-day 95% VaR.


			2.

			Similar methods in other risk analysis applications.

imported>Doug Williamson: Category added 9/10/13

2013-10-09T14:13:51Z

Category added 9/10/13

← Older revision		Revision as of 14:13, 9 October 2013
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	Finally, tabulate the empirical distribution of one-day value changes and identify the lower 95% point. This point is the one-day 95% VaR.		Finally, tabulate the empirical distribution of one-day value changes and identify the lower 95% point. This point is the one-day 95% VaR.


	== See also ==		== See also ==
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	* [[Monte Carlo method]]		* [[Monte Carlo method]]
	* [[Value at risk]]		* [[Value at risk]]


			[[Category:Risk_frameworks]]

imported>Administrator: CSV import

2012-10-23T14:19:47Z

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In Value at Risk analysis, an alternative to the Delta-normal method of calculating the underlying probability distribution.

This is conceptually the simplest alternative method to the delta-normal. There is no assumption about how markets operate.

For any given portfolio held today, you calculate repeatedly its hypothetical value change as if it had been held for a one day period in the past, using the relevant market price changes and other market rate changes for each successive day.

At each step, you do a full valuation and calculate the ex-post or historical value changes over one day.

Finally, tabulate the empirical distribution of one-day value changes and identify the lower 95% point. This point is the one-day 95% VaR.

== See also ==
* [[Delta-normal method]]
* [[Historical method]]
* [[Monte Carlo method]]
* [[Value at risk]]