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Book/Article Detail


 
Reading Title:
Reading Author(s):
 
 
Book Title:
Book Author(s):
Chapter:
4
Page Range:
Total Pages:
43
 
 
Publisher:
Publication Year:
2005
Language:
English
 
 
 
 
FRM Paid Candidate Price:         US$6.00
Reading Price:
GARP Member (Non-Affiliate):   US$6.00
 
Affiliate & Non-Member:             US$7.00
 
* Order print copy for an additional US$3.01 + shipping & handling (select at checkout)
 
 
 
 
Quantitative Level:
Intermediate
 
 
Keywords:
 
 
Topics Covered:
Compiling historical simulation data, Estimation of historical simulation Var and ES, Estimating confidence intervals for historical simulation VaR and Es, Weighted historical simulation, Advantages and disadvantages of non-parametric methods, Conclusions
 
 
Reading Abstract:
*** Excerpt from the book ***This chapter looks at some of the most popular approaches to the estimation of risk measures- the non-parametric approaches, which seek to estimate risk measures without making strong assumptions about the relevant (e.g., P/L) distribution. The essence of these appraches is that we try to let the P/L data speak for themselves as much as possible, and use the recent empirical (or in some cases simulated) distribution of P/L- not some assumed theoretical distribution- to estimate our risk measures. All non-parametric approaches are based on the underlying assumption that the near future will be sufficiently like the recent past that we can use the data from the recent past to forecast risks over the near future- and this assumption may or may not be valid in any given context. In deciding whether to use any non-parametric approach, we must make a judgement about the extent to which data from the recent past are likely to give us a good guide about the risks we face over the horizon period we are converned with.
 
 
Reading Contents:
1 Compiling historical simulation data
2 Estimation of historical simulation Var and ES
3 Estimating confidence intervals for historical simulation VaR and Es
4 Weighted historical simulation
5 Advantages and disadvantages of non-parametric methods
6 Conclusions
 
 
 
 
Book Review:
*** From the publisher ***

Fully revised and restructured, Measuring Market Risk, Second Edition includes a new chapter on options risk management, as well as substantial new information on parametric risk, non-parametric measurements and liquidity risks, more practical information to help with specific calculations, and new examples including Q&As and case studies. The accompanying CD-ROM includes a Measuring Market Risk toolbox, with about 150 risk measurement functions, a manual and a selection of Excel workbooks illustrating basic risk measurement functions.
 



 
   
GARP Digital Library