Abstract
Filtered historical simulation provides the general framework to our backtests of portfolios of derivative securities held by a large sample of financial institutions. We allow for stochastic volatility and exchange rates. Correlations are maintained implicitly by our simulation procedure. Options are re-priced at each node. Overall results support the adequacy of our framework, but our VaR numbers are too high for swap portfolios at long horizons and too low for options and futures portfolios at short horizons.
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© 2014 Giovanni Barone Adesi
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Adesi, G.B., Giannopoulos, K., Vosper, L. (2014). Backtesting Derivative Portfolios with FHS. In: Adesi, G.B. (eds) Simulating Security Returns: A Filtered Historical Simulation Approach. Palgrave Pivot, New York. https://doi.org/10.1057/9781137465559_3
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DOI: https://doi.org/10.1057/9781137465559_3
Publisher Name: Palgrave Pivot, New York
Print ISBN: 978-1-349-49957-1
Online ISBN: 978-1-137-46555-9
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