Historical Simulation methods for Value-at-Risk can be reproduced inside a single parametric model of asset returns, showing they rely on more assumptions than typically stated.
Title resolution pending
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.RM 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
On the modeling assumptions of Historical Simulation for Value-at-Risk
Historical Simulation methods for Value-at-Risk can be reproduced inside a single parametric model of asset returns, showing they rely on more assumptions than typically stated.