VaR Estimation: Variance-Covariance and Historical Simulation Methods

June 7, 2022
Sergey Okun This article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.

Summary:

  • VaR allows us to estimate possible financial losses in different scenarios.
  • Historical Simulation VaR provides us with a significantly different result from the respective Variance-Covariance VaR for very high confidence intervals which depends on the normality assumption.
  • The I Know First AI algorithm provides us with the tool to select the most promising stocks.

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