Ex-post
From ACT Wiki
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
