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Tag Archives: HVaR
White Paper:
Predicting the Past
Historical VaR (HVaR) has become a standard measurement of risk. Many firms now require a full twelve years of prices (plus data from further back such as the Great Recession of 2008–2009). However, this requirement introduces a conundrum: what do we do when a company has not been around for a full twelve years?
Enriching the HVaR Calculation:
Predicting the Past:
HVaR, By Dr Lance Smith, Chief Strategy Officer, TS Imagine Historical VaR (HVaR) has become a standard measurement of risk, in which a current portfolio is subjected to the market conditions of a prior day and the resulting P&L is recorded. Read entire article here.
Limitations of HVaR:
When the Future No Longer Looks Like the Past
HVaR assumes that present market dynamics are captured in past behavior so what should we do when the world changes? Since Russia's invasion of Ukraine, commodity markets have entered new trading patterns and Lance Smith, TS Imagine Chief Strategy Officer explains some of the tools that can be used to help HVaR without disturbing other risk factors.
