Non Parametric Approaches
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Über den Vortrag
Der Vortrag „Non Parametric Approaches“ von Edu Pristine ist Bestandteil des Kurses „Archiv - Market Risks“. Der Vortrag ist dabei in folgende Kapitel unterteilt:
- Bootstrap Historical Simulation Approach
- Non-Parametric Density Estimation
- Age-Weighted Historical Simulation
- Volatility-Weighted Historical Simulation
- Correlations-Weighted Historical Simulation
- Filtered Historical Simulation
- Adventages of Non-Parametric Methods
- Disadventages of Non-Parametric Methods
- Questions
Dozent des Vortrages Non Parametric Approaches
Edu Pristine
Trusted by Fortune 500 Companies and 10,000 Students from 40+ countries across the globe, EduPristine is one of the leading International Training providers for Finance Certifications like FRM®, CFA®, PRM®, Business Analytics, HR Analytics, Financial Modeling, Operational Risk Modeling etc. It was founded by industry professionals who have worked in the area of investment banking and private equity in organizations such as Goldman Sachs, Crisil - A Standard & Poors Company, Standard Chartered and Accenture.EduPristine has conducted corporate training for various leading corporations and colleges like JP Morgan, Bank of America, Ernst & Young, Accenture, HSBC, IIM C, NUS Singapore etc. EduPristine has conducted more than 500,000 man-hours of quality training in finance.
http://www.edupristine.com
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Auszüge aus dem Begleitmaterial
... It is similar to sampling with replacement. The procedure is repeated over and over and records multiple sample. ...
... When we use the non-parametric density estimation, the underlying distribution is free from restrictive assumptions. The existing data points can be used to "smooth" the data points. ...
... This ensures that there is no ghost effects and it reduces the impact of older events that may not reoccur. ...
... current forecast of volatility for asset I. Advantages of the volatility weighted method. Incorporates volatility into the estimation process. VaR are more likely to be more sensible in light ...
... Here the historical returns are multiplied by the revised correlation matrix to yield the updated correlation-adjusted returns. ...
... model will forecast volatility for each day in the sample period, and then it can be standardized by dividing by the realized returns. Bootstrapping is used to simulate returns which incorporate the current volatility levels. ...
... Intuitive and often computationally simple. Not hindered by parametric violations of skewness. ...
... Cannot accommodate plausible large-impact events if they did not occur within the sample period. Difficult to estimate losses significantly larger than the ...
... Expected shortfall satisfies all the properties of coherent risk measurement while VaR satisfies only for normal distributions. D) None of the above. 2. The advantages of a non-parametric methods are all of the following except A. ...
... risk surface for expected shortfall is convex. 2.D. Is not one of the advantages of the non-parametric ...
