Most banks employ historical simulation for Value-at-Risk (VaR) calculations, where VaR is computed from a lower quantile of a forecast distribution for the portfolio's profit and loss (P\&L) that is constructed from a single, multivariate historical sample on the portfolio's risk factors. The...

Random orthogonal matrix (ROM) simulation is a very fast procedure for generating multivariate random samples that always have exactly the same mean, covariance and Mardia multivariate skewness and kurtosis. This paper investigates how the properties of parametric, data-specific and...