Non parametric VaR Techniques. Myths and Realities |
| |
Authors: | Giovanni Barone-Adesi & Kostas Giannopoulos |
| |
Institution: | Universita della Svizzera Italiana and City Business School,;Westminster Business School |
| |
Abstract: | 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 new technique – filtered historical simulation (FHS) – designed to remedy some of the shortcomings of the simulation approach. We compare the estimates it produces with traditional bootstrapping estimates. (J.E.L.: G19). |
| |
Keywords: | |
|