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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
2016
Highly Cited
2016
The Detection and Attribution Model Intercomparison Project (DAMIP v1.0)contribution to CMIP6
Abstract. Detection and attribution (DA to contribute to the estimation of how historical emissions have altered and are altering… Expand
2015
2015
Value-at-risk estimates of the stock indices in developed and emerging markets including the spillover effects of currency market
  • J. Su
  • 2015
    • Corpus ID: 15082154
This study derives the quantiles of the standardized generalized t (GT) in terms of a nonlinear equation which contains a… Expand
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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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
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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2007
2007
Mean¿variance portfolio selection with ¿at-risk¿ constraints and discrete distributions.
We examine the impact of adding either a VaR or a CVaR constraint to the mean-variance model when security returns are assumed to… Expand
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Highly Cited
2006
Highly Cited
2006
Using extreme value theory to measure value-at-risk for daily electricity spot prices
The recent deregulation in electricity markets worldwide has heightened the importance of risk management in energy markets… 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
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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