Historical simulation (finance)

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. Unlike parametric VaR models, historical simulation does not assume a particular distribution of the asset returns.

Source: Wikipedia — Historical simulation (finance) (CC BY-SA 4.0)