Ex-post: Difference between revisions
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imported>Doug Williamson (Add example. Source: linked page.) |
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Historical. | Historical. | ||
:"Historical simulation 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. | ||
Latest revision as of 00:03, 23 March 2021
Historical.
- "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.
- At each step, you do a full valuation and calculate the ex-post or historical value changes over one day."
- Historical simulation method - the Treasurer's Wiki
