HullRMFI2ndEdCh12金融风险管理.pptVIP

Historical Simulation (See Table 12.3) Collect data on the daily movements in all market variables. The first simulation trial assumes that the percentage changes in all market variables are as on the first day The second simulation trial assumes that the percentage changes in all market variables are as on the second day and so on Risk Management and Financial Institutions 2e, Chapter 12, Copyright ? John C. Hull 2009 * Historical Simulation continued Suppose we use n days of historical data with today being day n Let vi be the value of a variable on day i There are n-1 simulation trials