Browsing Articles by Author "Giannopoulos, Kostas"
Now showing items 1-15 of 15
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Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS)
Barone-Adesi, Giovanni; Giannopoulos, Kostas; Vosper, Les (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. ...
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Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS)
Barone-Adesi, Giovanni; Giannopoulos, Kostas; Vosper, Les (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. ...
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Coherent risk measures under filtered historical simulation
Giannopoulos, Kostas; Tunaru, Radu (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” ...
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Don't look back
Barone-Adesi, Giovanni; Bourgoin, Frederick; Giannopoulos, Kostas (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 ...
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Estimating the time Varying Components of international stock markets' risk
Giannopoulos, Kostas (1995)In this study an alternative approach for assessing securities' risk is applied. Various authors have argued that security returns are not homoskedastic but exhibit variation over time. They have observed that large changes ...
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Filtering Historical Simulation. Backtest Analysis
Giannopoulos, Kostas; Barone-Adesi, Giovanni; Vosper, Les (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 ...
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A Market Risk Model for Asymmetric Distributed Series of Return
Giannopoulos, Kostas; Nekhili, Ramzi (2012)In this paper we propose to model short-term interest rates by taking into consideration both the asymmetric properties of returns, using Pearson’s type IV distribution, and the time-varying volatility, using GARCH models. ...
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Non parametric VaR Techniques. Myths and Realities
Giannopoulos, Kostas; Barone-Adesi, Giovanni (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 ...
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Nonparametric, conditional pricing of higher order multivariate contingent claims
Giannopoulos, Kostas (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. ...
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Portfolio selection under VaR constraints
Giannopoulos, Kostas; Clark, Ephraim; Tunaru, Radu (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 ...
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Pricing Basket spread options
Giannopoulos, Kostas (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 ...
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A Simplified Approach to the Conditional Estimation of Value at Risk (VAR)
Barone-Adesi, Giovanni; Giannopoulos, Kostas (Futures & Options World, 1996)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 conditionally to reflect new information about the volatility of ...
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VaR Modelling on Long Run Horizons
Giannopoulos, Kostas (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 ...
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VaR Without Correlations for Portfolios of Derivative Securities
Barone-Adesi, Giovanni; Giannopoulos, Kostas; Vosper, Les (Wiley Online Library, 1999)We propose filtering historical simulation by GARCH processes to model the future distribution of assets and swap values. Options’ price changes are computed by full reevaluation on the changing prices of underlying assets. ...
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Volatility Spillovers and Price Interdependencies; A Dynamic non Parametric Approach
Giannopoulos, Kostas; Nekhili, Ramzi; Koutmos, Gregory (International Research Journal of Finance and Economics, 2010)This paper investigates the volatility spillovers of four major equity markets using a new approach namely, the Filtered Historical Simulation approach (FHS). The FHS captures very effectively the changes ...