Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS)

dc.contributor.author	Barone-Adesi, Giovanni
dc.contributor.author	Giannopoulos, Kostas
dc.contributor.author	Vosper, Les
dc.date.accessioned	2015-12-11T07:32:05Z
dc.date.available	2015-12-11T07:32:05Z
dc.date.issued	2002
dc.identifier.issn	1468-036X
dc.identifier.uri	http://hdl.handle.net/11728/6571
dc.description.abstract	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. Correlations are preserved implicitly by our simulation procedure. Options are repriced at each node. Overall results support the adequacy of our framework, but our VaR numbers are too high for swap portfolios at long horizons and too low for options and futures portfolios at short horizons.	en_UK
dc.language.iso	en	en_UK
dc.publisher	Blackwell Publishers Ltd	en_UK
dc.relation.ispartofseries	European Financial Management;Volume 8
dc.rights	© Blackwell Publishers Ltd.	en_UK
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/4.0/	en_UK
dc.subject	Value at Risk	en_UK
dc.subject	Historical simulation	en_UK
dc.subject	GARCH	en_UK
dc.title	Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS)	en_UK
dc.type	Article	en_UK
dc.doi	10.1111/1468-036X.00175/pdf