Hi,
How to calculate Historical Simulation VaR. If sig level = 1% N=100. Is it 100*1% or (100*1%) + 1 = 2nd observation.
Comments please.
Hi,
How to calculate Historical Simulation VaR. If sig level = 1% N=100. Is it 100*1% or (100*1%) + 1 = 2nd observation.
Comments please.
Thanks