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 ...

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 ...

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. ...

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 ...

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” ...

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 ...

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. ...

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. ...

The aim of this paper is to investigate the conditions under which public investment can be allocated to the infrastructure in material and non-material capital so as to have a positive effect on regional development and ...

A crucial problem for planners dealing with the management of water resources is to choose among the available alternative scenarios. In the presented methodology the result is a combination of the data of all the important ...

The paper uses data envelopment analysis (DEA-CCR model) to evaluate the tertiary-level educational system mechanism, relating a set of inputs to some outputs, in particular, income and employment. The analysis concerns ...

Rapid technological changes in Global markets today, which require rapid responses of markets, make innovation development a prerequisite. Businesses exploit new ideas to create new products, processes or services and new ...

In this paper, after summarizing and reviewing the methods of computing damages for wrongful death or injury in the law and economics literature, we present the way in which damages should be compensated for according to ...

This paper uses Data Envelopment Analysis (DEA) in order to examine 252 small foreign owned equities operating in the Greek manufacturing sector. By using a number of essential factors (like the number of employees, ...

Over the last two decades, technological changes have reformed business environment and made entrepreneurial activity as the main channel behind knowledge spillovers and knowledge creation. Therefore, the factors affecting ...

This paper extends the literature on foreign banking by developing a model that attempts to explain the performance of Greek banks operating abroad using a balanced pooled time-series dataset. Five variables are drawn from ...

This paper examines the determinants of profits of Greek banks operating abroad by developing an integrated model that includes a set of determinants informed by the literature on the profitability of both multinational ...

This paper investigates the relationship between the effective tax rate on bank income and bank profit efficiency. Our sample consists of 3,472 observations from 533 publicly quoted commercial banks operating in 46 countries ...

Central banks typically have a long-run inflation target that is modestly positive. However, the standard New Keynesian framework prescribes that zero inflation is the optimal longrun target. In this paper, we show that ...

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 ...