Non parametric VaR Techniques. Myths and Realities

Giovanni Barone-Adesi and Kostas Giannopoulos

Economic Notes, 2001, vol. 30, issue 2, 167-181

Abstract: type="main" xml:lang="en">

VaR (value-at-risk) estimates are currently based on two main techniques: the variance-covariance approach or simulation. Statistical and computational problems affect the reliability of these techniques. We illustrate a new technique – filtered historical simulation (FHS) – designed to remedy some of the shortcomings of the simulation approach. We compare the estimates it produces with traditional bootstrapping estimates.

(J.E.L.: G19).

Date: 2001
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