Question
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.
Possible reasons for this?
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Economics of Strategy
Authors: David Besanko, David Dranove, Mark Shanley, Scott Schaefer
6th edition
978-1118273630, 111827363X, 978-1118319185
