Bootstrap method based evaluating VaR
Wuyi Ye · Journal of systems engineering · 2004
In this paper the nonparametic Bootstrap method is introduced and the VaR of the financial capital is evaluated. Because the financial asset yield is not easy to be estimated by parametic method, as a nonparametic method, Bootstrap method overcomes those defects, and also improves the history simulation method. In this paper VaR of European dollar and Japanese yen exchange rates are calculated, both point estimator and interval estimator are given. By comparing those methods, some significative results are found.