A historical-parametric hybrid VAR

A historical-parametric hybrid VAR

market volatility

In standard calculations of value-at-risk by historical simulation, some representation of the profit and loss (P&L) function is obtained for the portfolio of interest that permits it to be repriced under shocks to market variables observed in some specified historical time window. Often the P&L function is represented by a set of revaluations on a regular grid from which the P&L associated with any changes in market variables can be calculated by interpolation. Histories of market variable

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