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VaR Without Correlations for Portfolios of Derivative Securities

dc.contributor.authorBarone-Adesi, Giovanni
dc.contributor.authorGiannopoulos, Kostas
dc.contributor.authorVosper, Les
dc.description.abstractWe 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. Our methodology takes implicitly into account assets’ correlations without restricting their values over time or computing them explicitly. VaR values for portfolios of derivative securities are obtained without linearising them. Historical simulation assigns equal probability to past returns, neglecting current market conditions. Our methodology is a refinement of historical simulation.en_UK
dc.publisherWiley Online Libraryen_UK
dc.relation.ispartofseriesJournal of Futures Markets;Volume 19, Issue 5
dc.rights© 1999 John Wiley & Sons, Inc.en_UK
dc.subjectResearch Subject Categories::SOCIAL SCIENCES::Business and economics::Economicsen_UK
dc.titleVaR Without Correlations for Portfolios of Derivative Securitiesen_UK

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© 1999 John Wiley & Sons, Inc.
Except where otherwise noted, this item's license is described as © 1999 John Wiley & Sons, Inc.