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About: Historical simulation (finance)     Goto   Sponge   NotDistinct   Permalink

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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. 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.