Historical simulation
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
... In order to estimate the conditional risk of a portfolio’s return, two strategies can be ad- vocated. A multivariate strategy requires estimating a dynamic model for the vector of risk factors, which is often ...
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Measuring and Comparing the Value at Risk Using GARCH and CARR Models for CSI 300 Index
... the historical simulation method as bench- mark for VaR estimation, we found that the historical simulation approach for VaR measurement is more conservative than GARCH and CARR ...
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Comparison of Performance of Traditional Value at Risk Models with Switching Model in Tehran Stock Exchange
... EWMA, historical simulation, Monte Carlo and constant variance model will be ...the historical information available to select a model, and that the choice of model is based on a pre-determined ...
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Changes in the seasonal cycle of the Atlantic meridional heat transport in a RCP 8.5 climate projection in MPI-ESM
... the simulation period from 2005 to 2300, to a historical simulation, covering the simulation period from 1850 to ...the historical simulation in the North Atlantic by the end of ...
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Nonlinear Combination of Financial Forecast with Genetic Algorithm
... is historical simulation, estimate VaR by reading off it from an appropriate histogram of ...perspective, historical simulation has two main drawbacks, as ...
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Financial Risk Measurement for Turkish Insurance Companies Using VaR Models
... the Historical and Monte Carlo Simulation Methods on the capital adequacy ratios were found at different levels (Table ...the Historical Simulation Method have taken the capital adequacy ratio ...
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Modelling Value at Risk: Evidence from the Saudi Stock Market
... the historical data (Dutta and Bhattacharya ...the historical returns (daily returns) by means of natural ...a historical window use that days ...basic historical simulation uses random ...
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Dependence and Value at Risk in the Stock Markets from the Americas: A Copula Approach
... and Historical Simulation VaR, tend to underestimate potential ...Carlo Simulation increase the stricter is the confidence ...Carlo Simulation, respectively; at a ...Carlo Simulation ...
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Assessing the impacts of 1 5 °C global warming–simulation protocol of the Inter Sectoral Impact Model Intercomparison Project (ISIMIP2b)
... (3) historical impact simulations accounting for vary- ing socio-economic conditions and climate change (histori- cal + histsoc, ...of historical warming (as simulated by GCMs) from the other drivers by ...
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On the effectiveness of natural hedging for insurance companies and pension plans
... Natural hedging is one possible method to reduce longevity risk exposure for an annuity provider or a pension plan. In this paper, we provide an assessment of the effectiveness of natural hedging between annuity and life ...
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COMPARATIVE STUDY OF PARAMETRIC AND NON-PERAMETRIC VALUE AT RISK (VaR) METHODS
... variance-covariance, historical simulation and Monte-Carlo simulation to calculate VaR, and assess suitability of these methods for risk measurement of equity ...and simulation techniques to ...
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Changes in tropical cyclones under stabilized 1.5 and 2.0 C global warming scenarios as simulated by the Community Atmospheric Model under the HAPPI protocols
... both simulation years and the ensembles for each part of the HAPPI experiment to isolate the climate change signal, if any, from internal ...the historical simulation period in 1996 extending through ...
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Skill and independence weighting for multi-model assessments
... its historical simulation output is treated as obser- vations, immediate neighbors of the test model are removed from the archive and the remaining models are used to con- duct tests, which assess skill in ...
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An evaluation of the effectiveness of Value at Risk (VaR) models for Australian banks under Basel III
... The Global Financial Crisis triggered a revision of the VaR based Basel II market risk framework to address extreme events. The revised VaR methodology remains unchanged under Basel III, however ongoing studies to ...
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NIFTY MARKET FORECASTING BASED ON HISTORICAL DATA USING ANN IN MATLAB
... 576 | P a g e In this paper, projected model uses CRISP data mining technique which is used over preceding data of three foremost companies comes under Amman Stock Exchange (ASE). Their proposal create decision rules ...
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Overnight Index Rate: Model, Calibration, and Simulation
... In this study the extended Overnight Index Rate (OIR) model is presented. The tting function for the probability distribution of the OIR daily returns is based on three dierent Gaussian distributions which provide ...
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Incorporating individual historical controls and aggregate treatment effect estimates into a Bayesian survival trial: a simulation study
... in historical studies and the new ...the historical data and new data of the control ther- apy are consistent with being generated by statistical processes underpinned by similar ...using historical ...
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Automatic Simulation of Historical Change
... AUTOMATIC SIMULATION OF HISTORICAL CHANGE AUTOMATIC S I ~ I A T I O N OF HISTORICAL CHANGE Raoul N Smith Northwestern University 0 0 Purpose One of the principal reasons for studying the history of a[.] ...
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A Bibliography of Northeast Historical Archaeology
... 1976 Historical Archaeology at Clermont State Historic Park. 1976 Historical Archaeology at Fort Crailo State Historic Site. 1976 Historical Archaeology at Fort Ontario..[r] ...
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Organic historical reasoning:redefining the concept of ‘Historical Empathy'
... different social, political and economic constraints. However, she concurs with Collingwood that the evidence of the past is often incomplete, fragmentary and simply a reflection of the thoughts and feelings of those who ...
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