This is a brief introduction to the three basic approaches to value at risk (VaR): Historical simulation, Monte Carlo simulation, Parametric VaR (eg, delta normal)...
Here is a quick explanation of parametric value at risk (VaR) as a means to illustrating its strengths/weaknesses. Please note: The essence of parametric VaR...
This is an illustration of historical simulation using a single-asset (versus a portfolio). The asset is Google's stock; I pulled daily (periodic) returns for the...