Value at Risk (VaR): Historical Method Explained

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Ryan O'Connell, CFA, FRM

Ryan O'Connell, CFA, FRM

Күн бұрын

Пікірлер: 3
@RyanOConnellCFA
@RyanOConnellCFA Ай бұрын
🔑 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
@vegahedge2635 Ай бұрын
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
@victoricus1 11 күн бұрын
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)?
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