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Historical simulation in finance's value at risk (VaR) analysis is a procedure for predicting the value at risk by 'simulating' or constructing the cumulative distribution function (CDF) of assets returns over time assuming that future returns will be directly sampled from past returns.
Returns-based, or factor-based, attribution methods also began to be developed after the 1970s; these attribution methods require time series return data of a portfolio, and may require time series return data of securities held in that portfolio and of explanatory factor portfolios to conduct performance attribution. These methods do not ...
A year loss table (YLT) is a table that lists historical or simulated years, with financial losses for each year. [ 1 ] [ 2 ] [ 3 ] YLTs are widely used in catastrophe modeling as a way to record and communicate historical or simulated losses from catastrophes.
SQL refers to Structured Query Language, a kind of language used to access, update and manipulate database. In SQL, ROLLBACK is a command that causes all data changes since the last START TRANSACTION or BEGIN to be discarded by the relational database management systems (RDBMS), so that the state of the data is "rolled back" to the way it was before those changes were made.
SQL:2011 or ISO/IEC 9075:2011 (under the general title "Information technology – Database languages – SQL") is the seventh revision of the ISO (1987) and ANSI (1986) standard for the SQL database query language. It was formally adopted in December 2011. [1] The standard consists of 9 parts which are described in detail in SQL.
Returns-based style analysis (RBSA) is a statistical technique used in finance to deconstruct the returns of investment strategies using a variety of explanatory variables. The model results in a strategy's exposures to asset classes or other factors, interpreted as a measure of a fund or portfolio manager's investment style .
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Then (,,) are risk exposure values calculated from fundamental and technical data, (,) are factor returns determined by a cross-sectional regression for each time period and (,) are the regression residuals. This model was reformulated by Rosenberg et al. into a direct model of asset return,