monte-carlo-simulation
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YouTube T4-01: Three approaches to value at risk (VaR) and volatility
The three approaches are 1. Parametric; aka, analytical; 2. Historical simulation; and 3. Monte Carlo simulation (MCS). The parametric approach assumes a clean function, the other two work with messy data. Historical simulation is betrayed by a histogram, MCS is betrayed by a random number...- Nicole Seaman
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- historical-simulation monte-carlo-simulation parametric-approach value-at-risk var volatility
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- Forum: P1.T4. Valuation & Risk Models