Faber's 'A Quantitative Approach to Tactical Asset Allocation' (2009) proposes the use of a very simple trading rule to improve the risk-adjusted returns across various asset classes. The purpose of this paper is to present an alternative and simple quantitative risk based portfolio management...

The purpose of this paper is to present a comparison between two risk models for estimating VaR, Historical Simulation and Monte Carlo Filtered Bootstrap. We perform three tests, Unconditional Coverage, Independence and Conditional Coverage according to Christoffersen, P., Pellettier D. (2004)...

The article concerns the differences between the meaning of risk management in a bank and in an asset management company, and then it illustrates the solution found to the challenge of building up a risk management system in an Italian medium size company.We describe the specific needs of an...

We propose here a naive model to forecast ex-ante Value-at-Risk (VaR) using a shrinkage estimator between realized volatility estimated on past return time series, and implied volatility extracted from option pricing data. Implied volatility is often indicated as the operators expectation about...

We test the naive model to forecast ex-ante Value-at-Risk (VaR) using a shrinkage estimator between realized volatility estimated on past return time series, and implied volatility quoted on the market. Implied volatility is often indicated as the operators expectation about future risk, while...