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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 ...
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. ...
Nonparametric, conditional pricing of higher order multivariate contingent claims
(2008-09)
This paper describes and applies a nonparametric model for pricing multivariate contingent claims. Multivariate contingent claims are contracts whose payoffs depend on the future prices of more than one underlying variable. ...
Pricing Basket spread options
(Society for Computational Economics, 2006)
This paper describes and analyses the use of the Filtered Historical Simulation algorithm in pricing spread options. Spread options are contracts whose payoff depends on the price difference (spread) between two or more ...
Coherent risk measures under filtered historical simulation
(Elsevier, 2005-04)
Recent studies have strongly criticised conventional VaR models for not providing a coherent risk measure. Acerbi provides the intuition for an entire family of coherent measures of risk known as “spectral risk measures” ...
VaR Modelling on Long Run Horizons
(Kluwer Academic Publishers-Plenum Publishers, 2003-07)
The Value-at-Risk (VaR) criterion as a measure of portfolio's risk on long run horizons is considered. The method which makes possible to generate VaR estimates on longer horizons is suggested. The VaR estimation is based ...
Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS)
(European Financial Management, 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. ...
Non parametric VaR Techniques. Myths and Realities
(Wiley Online Library, 2003-12-03)
VaR (value-at-risk) estimates are currently based on two main techniques: the variance-covariance approach or simulation. Statistical and computational problems affect the reliability of these techniques. We illustrate a ...
Portfolio selection under VaR constraints
(Springer-Verlag, 2005-03)
In this paper we show that by assuming a constant variance/covariance matrix over the holding period, the VaR limits can often be exceeded within the relevant horizon period. To minimize this risk, we formulate the problem ...