Model Building Archives | Imarticus
November 21, 2016
Confused between Model Building Approach Historical Simulation? Things to consider If you consider Basel II, there are two ways of calculating Market Risks VAR: • Historical Simulation Approach • Model Building Approach What makes them different? Historical Simulation approach is most frequently used by organisations. As the name suggests, we consider daily changes in past/historical values to compute the likelihood of the variations in values […] Read More »