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Historical simulation (finance)

Known as: Historical simulation 
Historical simulation in finance's value at risk (VaR) analysis is a procedure for predicting the value at risk by 'simulating' or constructing the… Expand
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Related topics

Related topics

5 relations
Electricity price forecastingFinancial modelingQuasi-Monte Carlo methods in financeValue at risk

Broader (1)

Monte Carlo methods in finance

Papers overview

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Highly Cited
2013
Highly Cited
2013
Global and Regional Aspects of Tropical Cyclone Activity in the CMIP5 Models
AbstractTropical cyclone (TC) activity is analyzed in 14 models from phase 5 of the Coupled Model Intercomparison Project (CMIP5… Expand
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2012
2012
Ranking of VaR and ES Models: Performance in Developed and Emerging Markets
An inherent problem with comparing and ranking competing Value at Risk (VaR) and Expected shortfall (ES) models is that they… Expand
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Highly Cited
2011
Highly Cited
2011
MIROC-ESM 2010: Model description and basic results of CMIP5-20c3m experiments
Abstract. An earth system model (MIROC-ESM 2010) is fully described in terms of each model component and their interactions… Expand
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Highly Cited
2011
Highly Cited
2011
Small temperature benefits provided by realistic afforestation efforts
Afforestation, the conversion of croplands or marginal lands into forests, is considered one of the key climate-change mitigation… Expand
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Highly Cited
2010
Highly Cited
2010
Hydrologic impacts of climate change on the Nile River Basin: implications of the 2007 IPCC scenarios
We assess the potential impacts of climate change on the hydrology and water resources of the Nile River basin using a macroscale… Expand
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Highly Cited
2008
Highly Cited
2008
Impact of Biofuel Production on World Agricultural Markets: A Computable General Equilibrium Analysis
This paper introduces biofuels sectors as energy inputs into the GTAP Data Base and to the production and consumption structures… Expand
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Highly Cited
2008
Highly Cited
2008
Designing Centers of Expertise for Academic Learning Through Video Games
Schools appear to be facing a crisis of engaging secondary students in meaningful learning. Many are recognizing that the… Expand
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2002
2002
AN EVALUATION OF EARTHQUAKE RISK TO INCA ’ S HISTORICAL CONSTRUCTIONS
Seismic hazard analysis is performed for a representative zone in Peru, including the city of Cusco, the citadel of Machupicchu… Expand
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Highly Cited
2001
Highly Cited
2001
The hidden dangers of historical simulation
Many large financial institutions compute the Value-at-Risk (VaR) of their trading portfolios using historical simulation based… Expand
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Highly Cited
1998
Highly Cited
1998
INCORPORATING VOLATILITY UPDATING INTO THE HISTORICAL SIMULATION METHOD FOR VALUE AT RISK
This paper proposes a procedure for using a GARCH or exponentially weighted moving average model in conjunction with historical… Expand
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