Combining non-constant weights with historical simulation VaR

Riccardo Rebonato and Vasant Shanbhogue

Journal of Risk Management in Financial Institutions, 2010, vol. 3, issue 4, 392-404

Abstract: This paper shows how the historical simulation method can be extended to deal with a time series that displays different importance weights. The method is shown to be particularly useful in dealing with seasonality. It builds on the work by Hull and White (1998) about volatility rescaling, and it demonstrates some subtle points that arise in the presence of non-constant weights across time series.

Keywords: value-at-risk; historical simulation; weights; commodities (search for similar items in EconPapers)
JEL-codes: E5 G2 (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations:

Downloads: (external link)
https://hstalks.com/article/1471/download/ (application/pdf)
https://hstalks.com/article/1471/ (text/html)
Requires a paid subscription for full access.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aza:rmfi00:y:2010:v:3:i:4:p:392-404

Access Statistics for this article

More articles in Journal of Risk Management in Financial Institutions from Henry Stewart Publications
Bibliographic data for series maintained by Henry Stewart Talks ().