Non-Parametric Approaches (FRM Part 2 2023 – Book 1 – Chapter 2)

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After completing this reading you should be able to:
- Apply the bootstrap historical simulation approach to estimate coherent risk measures.
- Describe historical simulation using non-parametric density estimation.
- Compare and contrast the age-weighted, the volatility-weighted, the correlation-weighted, and the filtered historical simulation approaches.
- Identify advantages and disadvantages of non-parametric estimation methods.