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 ...

This paper describes and analyses the use of the Filtered Historical Simulation algorithm in pricing spread options. Spread options are contracts whose payoff depends on the price difference (spread) between two or more ...

This paper describes and applies a nonparametric model for pricing multivariate contingent claims. Multivariate contingent claims are contracts whose payoffs depend on the future prices of more than one underlying variable. ...

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 ...

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 ...

In this study an alternative approach for assessing securities' risk is applied. Various authors have argued that security returns are not homoskedastic but exhibit variation over time. They have observed that large changes ...

Recent studies have strongly criticised conventional VaR models for not providing a coherent risk measure. Acerbi provides the intuition for an entire family of coherent measures of risk known as “spectral risk measures” ...

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 ...

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 ...

Abstract The objective of this chapter is to examine the ARCH family of volatility models and its use in risk analysis and measurement. An overview of unconditional and conditional volatility models is provided. The former ...