市场风险历史模拟法.pptxVIP

Market Risk VaR: Historical Simulation ApproachChapter 12Risk Management and Financial Institutions 2e, Chapter 12, Copyright ? John C. Hull 200912.1 The MethodologyHistorical simulation involves using past data as a guide to what will happen in the future.Suppose that we want to calculate VaR for a portfolio using a one-day time horizon, a 99% confidence level, and 501 days of data.The time horizon and confidence level are those typically used for a market risk VaR calculation; 501 is a popular choice for the number of days of data used because it leads to 500 scenarios being created.The ste