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 ...

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 ...

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 ...

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. ...