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Observation period (5 years) Historical Simulation at 90% confidence level - results: VaR is lower than Variance-Covariance and Monte Carlo. At 99% confidence level Historical

Observation period (5 years)

Historical Simulation at 90% confidence level - results: VaR is lower than Variance-Covariance and Monte Carlo.

At 99% confidence level Historical Simulation gives me a higher VaR than the other two approaches.

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