Simulating security returns
Subtitle: a filtered historical simulation approach
By: [edited by] Giovanni Barone Adesi  Professor, University of Italian Switzerland
Series: Palgrave pivot
Publisher: Palgrave Pivot
Published: 2014
Place of publication: New York City, NY
Language: eng
Number of pages: 111
ISBN-13: 9781137465542
Subjects: Derivative securities; Risk management; BUSINESS & ECONOMICS / Finance
Description: "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.  "--
Notes: Includes bibliographical references and index.
Table of contents: title: Machine generated contents note:; title: 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.