VaR without correlations for portfolios of derivative securities
We propose filtering historical simulation by GARCH processes to model the future distribution of assets and swap values. Options’ price changes are computed by full reevaluation on the changing prices of underlying assets. Our methodology takes implicitly into account assets’ correlations without restricting their values over time or computing them explicitly. VaR values for portfolios of derivative securities are obtained without linearising them. Historical simulation assigns equal probability to past returns, neglecting current market conditions. Our methodology is a refinement of historical simulation. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 583–602, 1999
Year of publication: |
1999
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Authors: | Giovanni Barone‐Adesi ; Giannopoulos, Kostas ; Vosper, Les |
Published in: |
Journal of Futures Markets. - John Wiley & Sons, Ltd.. - Vol. 19.1999, 5, p. 583-602
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Publisher: |
John Wiley & Sons, Ltd. |
Saved in:
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