Non-parametric VaR techniques. Myths and realities

Economic Notes

Volumn 30, Issue 2, 2001, Pages 167-181

  Barone Adesi, Giovanni ^a   Giannopoulos, Kostas ^b  

^a UNIVERSITY OF LUGANO   (Switzerland)

^b UNIVERSITY OF WESTMINSTER   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0005832656     PISSN: 03915026     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.0391-5026.2001.00052.x     Document Type: Article

References (12)

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3. G. BARONE-ADESI - K. GIANNOPOULOS - L. VOSPER (2000), "Backtesting the Filtered Historical Simulation", unpublished manuscript.
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10. M. PRITSKER (2000), "The Hidden Risks of Historical Simulation", Federal Reserve Board, Washington.
11. R. VAN DEN GOORBERGH - P. VLAAR (1999), "Value-at-Risk Analysis of Stock Returns. Historical Simulation, Variance Techniques or Tail Index Estimation?" Mimeo.
12. P. VLAAR (2000), "Value at Risk Models for Dutch Bond Portfolios", Journal of Banking and Finance, 24, pp. 1131-54.