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Articles by APG
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Wilmott Magazine: November 2020 issue
Volume 2020, Issue 110. Pages 1–84 Every issue we bring you original material from some of the best columnists, educators and cutting-edge researchers. Subscribe here. In this issue: Bibliography “Contents,” Wilmott, vol. 2020, iss. 110, p. [...] -
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You Can’t Always Get What You Want – Estimating the Value at Risk from Historical Data with Limited Statistics – Björn Naundorf, Jörg Raufeisen, Christoph Bennemann & Frederik Herzberg
Historical simulation is a method widely used to calculate the VaR in the context of market risk, where a key challenge is that the VaR level of a portfolio must be estimated from a limited [...] -
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