| 翻訳と辞書 |
| Historical simulation (finance) ： ウィキペディア英語版 |
Historical simulation (finance)
Historical simulation in finance's value at risk (VaR) analysis is a procedure for predicting the value at risk by 'simulating' or constructing the cumulative distribution function (CDF) of assets returns over time. Unlike parametric VaR models, historical simulation does not assume a particular distribution of the asset returns. Also, it is relatively easy to implement. However, there are a couple of shortcomings of historical simulation. First of all, it imposes a restriction on the estimation assuming that asset returns are independent and identically-distributed random variables, which is not the case: from empirical evidence, it is known that asset returns are clearly not independent, as they exhibit certain patterns such as volatility clustering. The second restriction relates to time: historical simulation applies equal weight to all returns of the whole period; this is inconsistent with the diminishing predictability of data that are further away from the present. These two shortcomings lead economists and financial experts to further develop other non-parametric, semi-parametric and parametric models.
== Weighted historical simulation ==
Weighted historical simulation applies decreasing weights to returns that are further away from the present, which overcomes the inconsistency of historical simulation with diminishing predictability of data that are further away from the present. However, weighted historical simulation still assumes independent and identically-distributed (iid) asset returns.
抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』
■ウィキペディアで「Historical simulation (finance)」の詳細全文を読む
スポンサード リンク
| 翻訳と辞書 : 翻訳のためのインターネットリソース |
Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.
|
|