Recent Value-at-Risk (VaR) models based on historical simulation often incorporate approaches where the volatility of the historical sample is rescaled or filtered to better reflect current market conditions. These filtered historical simulation (FHS) VaR models are now widely used in the...

In the event of a clearing member's default, and as part of its default management process, a central counterparty (CCP) will need to hedge the defaulter's portfolio and to close-out its positions. However, the CCP may not be able to do this without incurring additional losses if the market is...

Financial institutions have for many years sought measures which cogently summarise the diverse market risks in portfolios of financial instruments. This quest led institutions to develop Value-at-Risk (VaR) models for their trading portfolios in the 1990s. Subsequently, so-called filtered...

Measuring the responsiveness of a market risk model is relevant whenever the focus is on evaluating if a model is over- or under-reacting to changes in market conditions. Such is the case, for example, in the discussion about procyclical effects of the initial margin models used both in the...

The maturity effect states that the volatility of futures prices should increase as the contract approaches expiration. Numerous studies have investigated this effect for different asset classes. However, the presence of a maturity effect in short term interest rate (STIR) futures has usually...