Filtering Historical Simulation. Backtest Analysis

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Filtered Historical Simulation1Filtering Historical simulation . Backtest Analysis1By Giovanni Barone-Adesi, Kostas Giannopoulos and Les VosperMarch 2000A new generation of VaR models, based on Historical simulation (boot-strapping), is being increasingly used in the risk management indus-try. It consists of generating scenarios, based on Historical pricechanges, for all the variables in the portfolio. Since the estimatedVaR is based on the empirical distribution of asset returns it re-flects a more realistic picture of the portfolio s risk. Unfortu-nately this methodology has a number of disadvantages.

Filtered Historical Simulation 1 Filtering Historical Simulation. Backtest Analysis 1 By Giovanni Barone-Adesi, Kostas Giannopoulos and Les Vosper

  Analysis, Simulation, Historical, Filtering historical simulation, Filtering, Backtest analysis, Backtest