Browsing NUP Academic Publications - Ακαδημαϊκές Δημοσιεύσεις ΠΝΠ by Author "Barone-Adesi, Giovanni"
Now showing items 1-10 of 10
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Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS)
(Blackwell Publishers Ltd, 2002)Filtered historical simulation provides the general framework to our backtests of portfolios of derivative securities held by a large sample of financial institutions. We allow for stochastic volatility and exchange rates. ...
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Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS)
(European Financial Management, 2002)Filtered historical simulation provides the general framework to our backtests of portfolios of derivative securities held by a large sample of financial institutions. We allow for stochastic volatility and exchange rates. ...
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Don't look back
(1998)Value at risk is becoming increasingly popular as a management and regulatory tool. But before this acceptance goes much further, we need to assess its reliability under financial market conditions. Most VAR models deal ...
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Estimating the Joint Tail Risk Under the Filtered Historical Simulation. An Application to the CCP's Default and Waterfall Fund
(Geneva :Swiss Finance Institute, 2015)To ensure that central counterparties (“CCPs”) are safe in all market conditions the European Union (EU) has adopted legislation, commonly known as the European Market Infrastructure Regulation (“EMIR”) that deal with their ...
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Filtering Historical Simulation. Backtest Analysis
(2000)This paper we backtest the FHS VaR model on three types of portfolios invested over a period of two years. The first set of backtests consists of LIFFE financial futures and options contracts traded on LIFFE. In the second ...
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Non parametric VaR Techniques. Myths and Realities
(Wiley Online Library, 2003-12-03)VaR (value-at-risk) estimates are currently based on two main techniques: the variance-covariance approach or simulation. Statistical and computational problems affect the reliability of these techniques. We illustrate a ...
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A Probabilistic Approach to Worst Case Scenarios
(1997)Value at Risk (VaR) is increasingly popular as a management and regulatory tool. To further its acceptance it is necessary to assess its reliability under conditions likely to be encountered in financial markets. A logical ...
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A Simplified Approach to the Conditional Estimation of Value at Risk (VAR)
(Futures & Options World, 1996)Emerging risk-management techniques use Value at Risk (VAR) to assess the market risk of a portfolio. We propose a relative simple method to estimate VAR conditionally to reflect new information about the volatility of ...
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A Simplified Approach to the Conditional Estimation of Value at Risk (VAR)
(1997)Emerging risk-management techniques use Value at Risk (VAR) to assess the market risk of a portfolio. We propose a relative simple method to estimate VAR conditionallyto reflect new information about the volatility of ...
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VaR Without Correlations for Portfolios of Derivative Securities
(Wiley Online Library, 1999)We propose filtering historical simulation by GARCH processes to model the future distribution of assets and swap values. Options’ price changes are computed by full reevaluation on the changing prices of underlying assets. ...
