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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. ...
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 ...