Barone-Adesi, Giovanni; Giannopoulos, Kostas - In: Economic Notes 30 (2001) 2, pp. 167-181
type="main" xml:lang="en" <p>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...</p>