Non - parametric VaR techniques
نویسندگان
چکیده
1 VaR (Value at Risk) estimates are currently based on two main techniques, the variance-covariance approach or simulation. Statistical and computational problems affect the reliability of these techniques. We illustrate a new technique, filtered historical simulation, that is designed to remedy some of the shortcomings of the simulation approach. We compare the estimates it produces with traditional bootstrapping estimates.
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