Question: What are the main assumptions when VaR is calculated using the Historical Simulation (HS) method. What are the advantages and disadvantages of the HS methods

What are the main assumptions when VaR is calculated using the Historical Simulation (HS) method. What are the advantages and disadvantages of the HS methods and how does HS compares to the Weighted Historical Simulation (WHS) method.

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock

Answer When Value at Risk VaR is calculated using the Historical Simulation HS method the main assum... View full answer

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Document Format (2 attachments)

66423801956fe_984338.pdf

180 KBs PDF File

66423801956fe_984338.docx

120 KBs Word File

Students Have Also Explored These Related Finance Questions!

Consider the forecast results shown below. Calculate MAD and MFE using the data for months January through June. Does the forecast model under- or overforecast? Month Actual Demand Forecast January...

answer the question clearly You are building a flight-control system for which a convincing safety case must be made. Would you assign the tasks of safety requirements engineering, test case...

Portray in words what transforms you would have to make to your execution to some degree (a) to accomplish this and remark on the benefits and detriments of this thought.You are approached to compose...

What is the difference between MouseListener and MouseAdapter? [3 marks] (b) Via suitable HTML, the compiled version of the following Java code is presented to the appletviewer application: import...

) Explain the collision detection mechanism applied in standard wired medium access control associated with CSMA and indicate why this might be unsuitable for wireless networks. [2 marks] (ii)...

) Consider integer division of one two's-complement binary number by another. Programming languages may vary in the result when one argument is negative. What differing conventions might they be...

Market Demand Forecast Method Selection and Application: A Case Study in Hero MotoCorp Ltd. D K Choudhury Abstract: In this dynamic era, the market is very competitive and the demand for a product...

Prolog You are approached to compose a Prolog program to work with twofold trees. Your code shouldn't depend on any library predicates and you ought to expect that the mediator is running without...

Briefly describe ASCII and Unicode and draw attention to any relationship between them. [3 marks] (b) Briefly explain what a Reader is in the context of reading characters from data. [3 marks] A...

Suppose that R(A, B, C) is a relational schema with functional dependencies F = {A, B C, C B}. (i) Is this schema in 3NF? Explain. [2 marks] (ii) Is this schema in BCNF? Explain. [2 marks] (b)...

Compute earnings per share. (Round answer to 2 decimal places, eg. 2.55)

Assume that Canada has the following import/export volumes and prices. Calculate the trade balance. Price of exports, 15 CAD Price of imports, 10 USD Quantity of exports, 1000 units Quantity of...

what term is used in the appraisal process for The ratio of NOI to the property value, used to estimate the investor's potential return on investment

Susie Smith opened Susie's Commerical Clearning on April 1, 2021. In Apr, the following transactions were completed. Apr-01 Invested $14,000 cash in the business 1 Purchased a used truck for $26,400,...

Assuming that there are 3 m&m candy bottles (labeled B1, B2, B3) with red, green and yellow colors, one of the candies from 3 bottles will be randomly taken out in a series. Given the transition...

1. Explain what is meant by rewards narrow a persons focus and restrict possibility? Much has been built around extrinsic rewards, but why, in some instances, is this a mismatch? 2. Examine the...

Your assignment is to participate in a Discussion of the cases to date. The discussion should center on (1) similarities and differences that exist among the cases, (2) what has been done to...

What are the four characteristics of the customer service strategy in the global market and how this could apply to Wal-mart case? As a logistics manager how can you help Wal-mart to improve the...

6 Theory of Machines 5. A shaft carries five masses A, B, C, D and E which revolve at the same radius in planes which are equidistant from one another. The magnitude of the masses in planes A, C and...

The owner of a business says, I cannot uniquely determine the profitability of one of my joint products, but I can uniquely determine its contribution toward joint costs and profit. Explain.

S-F Manufacturing Company performs a variety of activities for custom products. This week the following transactions took place. 1. Received 600 units of material at $12 per unit. 2. Issued 120 units...

Is the cafeteria in a hospital a support department or revenue generating department? Explain.

Is it appropriate to use the normal distribution to approximate the sampling distribution of p for the situations described 8. n=250, p = .99

Is it appropriate to use the normal distribution to approximate the sampling distribution of p for the situations described 6. n = 75, p=.1

Is it appropriate to use the normal distribution to approximate the sampling distribution of p for the situations described 7. n=500, p=.1