Now showing items 1-2 of 2
A Market Risk Model for Asymmetric Distributed Series of Return
In this paper we propose to model short-term interest rates by taking into consideration both the asymmetric properties of returns, using Pearson’s type IV distribution, and the time-varying volatility, using GARCH models. ...
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. ...