Preprint

VaR without correlations for portfolio of derivative securities

    1999

28 p.

English We propose filtering historical simulation by GARCH processes to model the future distribution of assets and swap values. Options’ price changes are computed by full reevaluation on the changing prices of underlying assets. Our methodology takes implicitly into account assets’ correlations without restricting their values over time or computing them explicitly. VaR values for portfolios of derivative securities are obtained without linearising them. Historical simulation assigns equal probability to past returns, neglecting current market conditions. Our methodology is a refinement of historical simulation.
Language
  • English
Classification
Economics
License
License undefined
Identifiers
  • RERO DOC 9092
Persistent URL
https://susi.usi.ch/usi/documents/318043
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