The Hidden Dangers of Historical Simulation

By Matthew Pritsker. 2006

308 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6444919b1eeb1e310b813be00efaab58f96008af

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Citations in the corpus

Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005, result): “Barone-Adesi, Giannopoulos, and Vosper (1999, 2002) and Pritsker (2001) show that this method performs rather well, which agrees with our findings, as detailed below.”
A comprehensive review of Value at Risk methodologies (2014, background): “Recent empirical evidence shows that this approach works quite well in estimating VaR (see Barone-Adesi and Giannopoulos, 2001; Barone-Adesi et al., 2002; Zenti and Pallotta, 2001; Pritsker, 2001; Giannopoulos and Tunaru, 2005).”
Frontiers in VaR forecasting and backtesting (2016, methodology): “…Barone-Adesi et al. (1999, 2002) propose a bootstrap method called Filtered Historical Simulation (FHS), based on using random draws with replacement from the standardized residuals which does not incorporate parameter uncertainty; see Engle (2003) and Pritsker (2006) for implementations.”
Evaluating Value-at-Risk Models via Quantile Regression (2008, background): “Historical simulation is the empirical quantile, and therefore, does not respond well to increases in volatility (see Pritsker 2001).”
Developing a stress testing framework based on market risk models (2008, background): “The failings of historical simulation have been well described by Pritsker (2006).”
VOLATILITY AND CORRELATION FORECASTING (2006, methodology): “Ramirez and Fadiga (2003), for instance, find evidence of asymmetric volatility patterns in U.S. soybean, sorghum and wheat prices. Building on the earlier volatility spill-over models used in analyzing international financial market linkages in the papers by Engle, Ito and Lin (1990) and King, Sent”
The Level and Quality of Value-at-Risk Disclosure by Commercial Banks (2010, unknown): “Since Historical Simulation only relies on the one, sometimes two, year unconditional distribution of the risk factors, it is under-responsive to changes in conditional risk (Pritsker, 2006).”