A historical-parametric hybrid VAR
The calculation of value-at-risk by historical simulation suffers increasingly from the problem of missing market data as the number of time series being included grows. This problem, therefore, tends to be particularly severe when VAR is used for calculating specific risk. Robin Stuart shows how the familiar methods of historical simulation and parametric VAR can be combined to produce a new hybrid VAR possessing some of the best features of both and capable of addressing the problem of
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