Backtesting derivative portfolios with filtered historical simulation (FHS)
Year of publication: |
2002
|
---|---|
Authors: | Barone-Adesi, Giovanni ; Giannopoulos, Kostas ; Vosper, Les |
Published in: |
European financial management : the journal of the European Financial Management Association. - Oxford : Wiley-Blackwell, ISSN 1354-7798, ZDB-ID 1235378-4. - Vol. 8.2002, 1, p. 31-58
|
Subject: | Portfolio-Management | Portfolio selection | Derivat | Derivative | Simulation | ARCH-Modell | ARCH model | Risikomaß | Risk measure |
-
Chen, Rongda, (2013)
-
Tse, Yiuman, (2016)
-
Application of copula-GARCH to estimate VaR of a portfolio with credit default swaps
Huang, Jhe-Jheng, (2018)
- More ...
-
Barone-Adesi, Giovanni, (2015)
-
VAR without correlations for portfolios of derivative securities
Barone-Adesi, Giovanni, (1999)
-
Barone-Adesi, Giovanni, (2018)
- More ...