Browsing Articles by Subject "Filtered historical simulation"
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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” ...
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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. ...