Historical simulation, value at risk (VaR) について・・・
This is an illustration of historical simulation using a single-asset (versus a portfolio). The asset is Google's stock; I pulled daily (periodic) returns for the last 100 days. Note the histogram exhibits fat or heavy-tails with the two outliers including Friday's 10% drop. This example shows some of the pros and and cons of historical simulation: Easy to use (pro): it is just a percentile or quantile function; Unlike parametric or Monte Carlo, no model risk (pro); Treats all historical observations equally (con); May not be enough data in the tails (con, a classic challenge)
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