VaR Without Correlations for Portfolios of Derivative Securities

dc.contributor.author	Barone-Adesi, Giovanni
dc.contributor.author	Giannopoulos, Kostas
dc.contributor.author	Vosper, Les
dc.date.accessioned	2015-12-10T17:36:19Z
dc.date.available	2015-12-10T17:36:19Z
dc.date.issued	1999
dc.identifier.issn	0270-7314
dc.identifier.uri	http://hdl.handle.net/11728/6560
dc.description.abstract	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.	en_UK
dc.language.iso	en	en_UK
dc.publisher	Wiley Online Library	en_UK
dc.relation.ispartofseries	Journal of Futures Markets;Volume 19, Issue 5
dc.rights	© 1999 John Wiley & Sons, Inc.	en_UK
dc.rights.uri	http://creativecommons.org/licenses/by-nc-nd/4.0/	en_UK
dc.subject	Research Subject Categories::SOCIAL SCIENCES::Business and economics::Economics	en_UK
dc.title	VaR Without Correlations for Portfolios of Derivative Securities	en_UK
dc.type	Article	en_UK
dc.doi	10.1002/(SICI)1096-9934(199908)19:5<583::AID-FUT5>3.0.CO;2-S