Simulating Security Returns [electronic resource] : A Filtered Historical Simulation Approach /
Barone Adesi, Giovanni.author.
Barone-Adesi, Giovanni G.editor.
Practitioners in risk management are familiar with the use of the FHS (filtered historical simulation) to finding realistic simulations of security returns. This approach has become increasingly popular over the last fifteen years, as it is both flexible and reliable, and is now being accepted in the academic community. Simulating Security Returns is a useful guide for researchers, students, and practitioners. It uses the FHS approach to help simulate the returns of large portfolios of securities. While other simulation methods use the covariance matrix of security returns, which suffers the curse of dimensionality even for modest portfolios, Barone Adesi demonstrates how FHS can accurately adjust to current market conditions.
Bibliographic Level Mode of Issuance: Monograph
Includes bibliographical references at the end of each chapters and index.
Practitioners in risk management are familiar with the use of the FHS (filtered historical simulation) to finding realistic simulations of security returns. This approach has become increasingly popular over the last fifteen years, as it is both flexible and reliable, and is now being accepted in the academic community. Simulating Security Returns is a useful guide for researchers, students, and practitioners. It uses the FHS approach to help simulate the returns of large portfolios of securities. While other simulation methods use the covariance matrix of security returns, which suffers the curse of dimensionality even for modest portfolios, Barone Adesi demonstrates how FHS can accurately adjust to current market conditions.
Machine generated contents note: -- 1. Introduction: Simulating Security Returns; Giovanni Barone Adesi2. VaR Without Correlations for Portfolios of Derivative Securities; Giovanni Barone Adesi, Kostas Giannopoulos, Les Vosper3. Backtesting Derivative Portfolios with FHS; Giovanni Barone Adesi, Kostas Giannopoulos, Les Vosper4. A GARCH Option Pricing Model with Filtered Historical Simulation; Giovanni Barone Adesi, Robert F. Engle.
Risk management.
Investment banking.
Securities.
Capital market.
Risk Management.
Investments and Securities.
Capital Markets.