medium · FRM Part 1
Comparing the computational requirements of VaR methods, which statement is most accurate regarding Historical Simulation (HS) vs. Parametric VaR?
- Parametric VaR is slower because it requires the calculation of a full covariance matrix.
- HS is faster because it does not require sorting the P&L outcomes.
- HS can be computationally intensive because it requires 'full revaluation' of the portfolio for every historical scenario.
- Both methods require the same computational time as they both rely on Monte Carlo engines.
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