What does it mean when you say Historical and Analytical can be applied to different time period but Monte Carlo can’t?
anyone?
Monte Carlo in this case would be an iterative simulation of possible VaR scenarios, it will by design take into account path dependency. I am not sure what you mean by Monte Carlo cannot be applied to different time periods… Monte Carlo inputs can be based on historical data and a mean reversion perspective, or brand new inputs which we might think are more relevant going forward (perhaps due to a regime change, amongst many other factors).