Historical simulation

英文Historical simulation

中文 (征集中)


impact of market moves on a portfolio. A current portfolio is subjected to historically recorded market movements; this is used to generate a distribution of returns on the portfolio. This distribution can then be used to calculate the maximum loss with a given likelihood – ie, the value-at-risk. Because historical simulation uses real data, it can capture unexpected events and correlations that would not necessarily be predicted by a theoretical model



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