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- W2120628174 abstract "A new generation of VaR models, based on historical simulation (bootstrapping), is being increasingly used in the risk management industry. It consists of generating scenarios, based on historical price changes, for all the variables in the portfolio. Since the estimated VaR is based on the empirical distribution of asset returns it reflects a more realistic picture of the portfolio’s risk. Unfortunately this methodology has a number of disadvantages. To overcome some of them Barone-Adesi, Bourgoin and Giannopoulos(1998) and Barone-Adesi, Giannopoulos and Vosper (1999) introduce filtered historical simulation (FHS hereafter). They take into account the changes in past and current volatilities of historical returns and make the least number of assumptions about the statistical properties of future price changes. In this paper we backtest the FHS VaR model on three types of portfolios invested over a period of two years. The first set of backtests consists of LIFFE financial futures and options contracts traded on LIFFE. In the second set of backtests we examine the suitability of the FHS model on interest rate swaps. Finally, we backtest a set of mixed portfolios consisting of LIFFE interest rate futures and options as well as plain vanilla swaps. We go beyond the strict criteria of the BIS recommendations by evaluating daily risk at four different confidence levels and five different trading horizons for a large number of realistic portfolios 2 of derivative securities. In the first section we describe the backtesting methodology and report the results for the LIFFE portfolios. To enable us to appraise the different components of risk measurements on each of the three types of portfolios we run three sets of backtests, relaxing the following assumptions in each test: in the first backtest we keep constant implied volatilities and FX rates. Our analysis focuses on how well FHS predicts losses due to futures and options market price changes. In our second backtest we simulate implied volatilities while in the third backtest we also take into account the portfolios’ FX exposure. Our results show that fixed implied volatility performs better at short VaR horizons, while at longer ones (5 to 10 days) our stochastic implied volatility performs better." @default.
- W2120628174 created "2016-06-24" @default.
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- W2120628174 date "2000-01-01" @default.
- W2120628174 modified "2023-09-29" @default.
- W2120628174 title "Filtering Historical Simulation. Backtest Analysis" @default.
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