volatility-weighted

  1. Nicole Seaman

    P2.T5.711. Age-, volatility-, correlation-weighed and filtered historical simulation (HS) approaches

    Learning objectives: Compare and contrast the age-weighted, the volatility-weighted, the correlation-weighted, and the filtered historical simulation approaches. Identify advantages and disadvantages of non-parametric estimation methods. Questions: 711.1. Bertha the risk analyst has sorted...
    • Nicole Seaman
    • Thread
    • age-weighted correlation-weighted historical-simulation-approaches non-parametric-estimation volatility-weighted
    • Replies: 4
    • Forum: FRM® Practice Questions
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