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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. 
: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''


== See also ==
== See also ==
* [[Ex-ante]]
* [[Ex-ante]]
* [[Historical simulation method]]


[[Category:The_business_context]]

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


See also