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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… 
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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

Semantic Scholar uses AI to extract papers important to this topic.
Review
2017
Review
2017
Forecasting market risk of portfolios: copula-Markov switching multifractal approach
ABSTRACT This paper proposes a new methodology for modeling and forecasting market risks of portfolios. It is based on a… 
2015
2015
Value-at-risk estimates of the stock indices in developed and emerging markets including the spillover effects of currency market
2010
2010
The application of artificial neural network in the forecasting on incidence of a disease
The main objective of this paper is to discuss the meteorological factors affecting the incidence of hypertension and set up the… 
2010
2010
In China's Wake: Has Asia Gained From China's Growth?
China’s growth has been rapid but the value of China's international trade has grown even faster. This trade-biased growth is… 
2010
2010
Measuring Bond Portfolio Value at Risk and Expected Shortfall in US Treasury Market
This paper measured the value at risk (VaR) and expected shortfall (ES) of the US Treasury yield changes. The US Treasury yield… 
2009
2009
Risk factor beta conditional value‐at‐risk
We propose a new approach to the estimation of the portfolio Value-at-Risk. Based on the assumption that the same macroeconomic… 
2006
2006
Is historical simulation appropriate for measuring market risk?: A case of countries candidates for EU accession
Market risk represents the risk that the changes in market prices and rates will reduce the value of a security or a portfolio… 
2002
2002
Assessing the risk forecasts for Japanese stock market
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… 
2001
2001
Incorporating Event Risk into Value-at-Risk
Event risk is the risk that a portfolio's value can be affected by large jumps in market prices. Event risk is synonymous with… 
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