Value at Risk (VaR): Historical Method Explained

[@RyanOConnellCFA]

🔑 Join this channel to get access to perks & support my work: kzbin.info/door/Akyj2N9kd0HtKhCrejsYWQjoin Learn to calculate VaR with the Historical Method in Excel here: kzbin.info/www/bejne/hF64lHtqm5KLb9k Learn to calculate VaR with the Historical Method in Python here: kzbin.info/www/bejne/oIutpIOfac9qrbM

[@vegahedge2635]

Great Video.Most importantly: Historic Simulation preserves all implicit higher order moments (skew, kurtosis) and correlations of the multivariate distribution of all Risk factors of the overall portfolio. Thats why a lot of banks have implemented historic simulation as their internal model.

[@victoricus1]

Ryan, hi. Is there any publicly available data on historical VARs for stock portfolios, and if yes, which source do you use (for investment optimization for example)?