Estimating the joint tail risk under the filtered historical simulation: An application to the CCP’s default and waterfall fund

Giovanni Barone-Adesi, Kostas Giannopoulos and Les Vosper

The European Journal of Finance, 2018, vol. 24, issue 5, 413-425

Abstract: The estimation of joint tail risk is necessary to evaluate the size of portfolio margins and default funds of central counterparties. The ability of filtered historical simulation to satisfy new regulatory requirements in this area is examined at the very high confidence levels, necessary to ensure market integrity over time.

Date: 2018
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DOI: 10.1080/1351847X.2017.1308876

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