Non parametric VaR Techniques. Myths and Realities
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 (FHS) – designed to remedy some of the shortcomings of the simulation approach. We compare the estimates it produces with traditional bootstrapping estimates. <p>(J.E.L.: G19).
Year of publication: |
2001
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Authors: | Barone-Adesi, Giovanni ; Giannopoulos, Kostas |
Published in: |
Economic Notes. - Banca Monte dei Paschi di Siena SpA. - Vol. 30.2001, 2, p. 167-181
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Publisher: |
Banca Monte dei Paschi di Siena SpA |
Saved in:
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