It assumes each past day's moves are equally likely to happen tomorrow. Because it does not assume a particular distribution, it can reflect fat tails in past price moves. On the other hand, it can only handle what has happened in the past; a short observation period makes the result unstable, and a long one makes recent moves harder to reflect.
Historical simulation
- Japanese
- ヒストリカル法
- Last reviewed
- September 26, 2026
This is a draft, shown for review before publication.
Historical simulation is a method that applies each day's market moves in a past observation period to the current position to build profit and loss figures, ranks them from the largest loss, and takes VaR from that ranking.