What is the difference between historical and Gaussian method of VaR estimation?
I know how they are calculated, but what are the pros and cons of each?
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Sign up to join this communityWhat is the difference between historical and Gaussian method of VaR estimation?
I know how they are calculated, but what are the pros and cons of each?
Historical Simulation
Pros:
Cons:
Guassian/Parametric/Delta Normal/Variance-Covariance (has many names)
Pros:
Cons: