Question
Why do VaR results between the historical simulation and model building approach when calculating the Value at Risk for say a 5-day 99% VaR portfolio
Why do VaR results between the historical simulation and model building approach when calculating the Value at Risk for say a 5-day 99% VaR portfolio differ between the two approaches?
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Contemporary Business Mathematics with Canadian Applications
Authors: S. A. Hummelbrunner, Kelly Halliday, Ali R. Hassanlou, K. Suzanne Coombs
11th edition
134141083, 978-0134141084
