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GARCH models in Risk Management. MEASURING VOLATILITY
(Butterworth Heinemann, 2000-02)
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 ...
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 ...