Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS)

dc.contributor.author	Barone-Adesi, Giovanni
dc.contributor.author	Giannopoulos, Kostas
dc.contributor.author	Vosper, Les
dc.date.accessioned	2015-12-10T17:10:37Z
dc.date.available	2015-12-10T17:10:37Z
dc.date.issued	2002
dc.identifier.issn	1354-7798
dc.identifier.uri	http://hdl.handle.net/11728/6557
dc.description.abstract	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. Correlations are preserved implicitly by our simulation procedure. Options are repriced at each node. Overall results support the adequacy of our framework, but our VaR numbers are too high for swap portfolios at long horizons and too low for options and futures portfolios at short horizons.	en_UK
dc.language.iso	en	en_UK
dc.publisher	European Financial Management	en_UK
dc.relation.ispartofseries	;Vol. 8
dc.rights	© John Wiley & Sons Ltd	en_UK
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/4.0/	en_UK
dc.source.uri	http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1468-036X	en_UK
dc.subject	Research Subject Categories::SOCIAL SCIENCES::Business and economics	en_UK
dc.title	Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS)	en_UK
dc.type	Article	en_UK