haku: @author Giannopoulos, K. / yhteensä: 1
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| Tekijä: | Barone-Adesi, G. Giannopoulos, K. Vosper, L. |
| Otsikko: | Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS) |
| Lehti: | European Financial Management
2002 : MAR, VOL. 8:1, p. 31-58 |
| Asiasana: | PORTFOLIO MANAGEMENT HISTORY ANALYTICAL REVIEW |
| Kieli: | eng |
| Tiivistelmä: | Filtered historical simulation provides the general framework to the authors' backtests of portfolios of derivative securities held by a large sample of financial institutions. The authors allow for stochastic volatility and exchange rates. Correlations are preserved implicitly by the authors' simulation procedure. Options are repriced at each node. Overall results support the adequacy of the authors' framework, but the authors' VaR numbers are too high for swap portfolios at long horizons and too low for options and futures portfolios at short horizons. The paper provides a substantial list of references on this subject. |
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