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Assume If I use only using Historical simulation approach for Value at Risk (VaR) What would be the advantages and disadvantages of using the most
Assume If I use only using Historical simulation approach for Value at Risk (VaR)
What would be the advantages and disadvantages of using the most recent 1,501 days (approximately six years) instead of the most recent 501 days? No calculations are required for this sub-question.
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