Historical simulation (HS) has been one of the most popular ways of measuring Value at Risk (VaR) in financial institutions. Originally popularized by JP Morgan’s RiskMetrics document and then picked up by the Basel Committee on Banking Supervision (BCBS), the idea is grounded in the belief that knowing history is... [Read More]

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As part of the syndicated “View from IIMA” series, my article appeared in livemint yesterday. Here is the unabridged version with hyperlinks. [Read More]

One often needs to compare data across samples, say, when one or more samples constitute a benchmark. For example, consider comparing interview scores across panels when one of the panels is considered to be the benchmark. [Read More]