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.

[@nikhiltrivedi6184]

Thank you very much, Professor James 😁
- from India

[@analystprep]

You're most welcome!

[@zhuhahaha]

Thank you！like the intro to this chaper：）

[@analystprep]

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[@willarn1]

Fantastic

[@analystprep]

Thank you!

[@monour7907]

the best explanation ever, please sir i have a question on how to calculate the global weight of a portfolio's asset ?
I have a portfolio of 5 assets, i have 1050 shares of the first, 400 of the second, 50 of the third.
i know how to calculate the weght of these assets at the t moment (for example the weight of the 29/07/2020, But i do nat know how to calculate the global weight of this asset in the portfolio ??
I thank you sir in advance.