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VaR Forecasting: HS vs. FHS Methods by 200edu is a document available to read on EtoBox.

What is VaR Forecasting: HS vs. FHS Methods about?

The document is a project report that analyzes forecasting value at risk (VaR) using historical simulation and filtered historical simulation methods. It introduces VaR as a risk measurement technique and discusses different VaR models. It then describes historical simulation and filtered historical simulation as non-parametric alternatives for VaR calculation. The report applies these methods to 10 years of daily stock price data from the OMX index to evaluate their effectiveness in measuring VaR.

Author

200edu

Language

EN