What assumption is being made when VaR is calculated using the historical simulation approach and 500...

What assumption is being made when VaR is calculated using the historical simulation approach and 500 days of data?

Expert Solution

The fundamental assumption of the Historical Simulations methodology is that you base your results on the past performance of your portfolio and make the assumption that the past is a good indicator of the near-future. Here we assume that 500 days is a good indicator of future

jeff jeffy answered 2 years ago

What happens to the standard error of a VaR estimate that uses historical simulation when we...

What happens to the standard error of a VaR estimate that uses historical simulation when we decrease the VaR confidence level? Why?

1. Compare paramatric, historical, and monte carlo simulation methods in identifying VaR (value at risk) 2....

1. Compare paramatric, historical, and monte carlo simulation methods in identifying VaR (value at risk) 2. What are the pros and cons of those? 3. Identify some weights on historical losses that you think should make more sense in current trading war environment.

what are the basic assumption if human being according to cognitive counselling approach discuss the cause...

what are the basic assumption if human being according to cognitive counselling approach discuss the cause of employees with problems according to this theory. Explain with examples the counselling steps and process in helping an employee with problem using humanistis counselling theory

What are the basic assumption of human being according to Cognitive Counselling Approach? Discuss the causes...

What are the basic assumption of human being according to Cognitive Counselling Approach? Discuss the causes of employees with problems according to this theory. Explain with examples the counselling steps and process in helping an employee with problem using Humanistic Counselling Theory

What are the basic assumption of human being according to Cognitive Counselling Approach. Discuss the cause...

What are the basic assumption of human being according to Cognitive Counselling Approach. Discuss the cause of employees with problem according to this theory. Explain with examples the counselling steps and process in helping an employee with problem using Humanistic Counselling Theory.

1. What assumption is made when considering the theory of consumer behavior? A. People do not...

1. What assumption is made when considering the theory of consumer behavior? A. People do not have preferences. B. Consumers always buy the lowest price item. C. There are no budget limits. D. People engage in rational behavior. 2. In a representative democracy, voters are _______ and politicians are _______. A. principals; agents B. employees; agents C. logrollers; principals D. agents; employees 3. On what assumption do neoclassical and behavioral economics disagree? A. People have motivations. B. People are almost...

calculate the 1% monthly VaR in dollars, Using the historical method. Suppose you invested $15,000 in...

calculate the 1% monthly VaR in dollars, Using the historical method. Suppose you invested $15,000 in the stock of XYZ company in early 2020. You have compiled the monthly returns on this stock during the period of 2015-2019, as given below. 2015 2016 2017 2018 2019 -0.0214 -0.0347 -0.1824 -0.0723 -0.1017 -0.0106 -0.0566 -0.0070 -0.1021 0.0264 0.0262 0.0158 0.0010 0.1114 0.1344 -0.1196 0.0862 -0.0648 0.2257 0.0786 -0.0313 0.0675 0.2378 -0.0043 -0.1772 -0.0362 0.0609 -0.0512 0.1867 -0.0953 -0.1137 -0.0203 0.1229 -0.0255...

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What assumption is being made when VaR is calculated using the historical simulation approach and 500...

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