Historical Simulation (HS) and its variant, the Filtered Historical Simulation (FHS), are the most widely used Value …, our theoretical findings are confirmed in a Monte Carlo simulation study and an empirical application with three U …

orhistorical and Monte Carlo simulation methods. Although these approaches to overall VaR estimation have receivedsubstantial … the underlying statistical distributions, a variety of analyticalmethods and simulation-based methods are available. Aside … and incremental VaR in either a non-normal analytical setting or a MonteCarlo / historical simulation context.This paper …