Historical simulation
Value-at-risk in the European energy market: a comparison of parametric, historical simulation and quantile regression value-at-risk
This paper examines a set of value-at-risk (VaR) models and their ability to appropriately describe and capture price-change risk in the European energy market.
New historical bootstrap value-at-risk model
This paper presents a new value-at-risk (VaR) model for the estimation of market risk in banks and other financial institutions.
CCP margin backtests can hide flaws, research finds
In richer test, ‘filtered’ VAR beats five other measures
Correctness of backtest engines
In this paper, the authors provide tools to test the correctness of backtest engines for setups with at most one entry and one exit.
Value-at-risk estimation with the Carr–Geman–Madan–Yor process: an empirical study on foreign exchange rates
This paper investigates the performance of the CGMY distribution in estimating the risk of FX rates.
On optimal smoothing of density estimators obtained from orthogonal polynomial expansion methods
This paper discusses the application of orthogonal polynomials to the estimation of probability density functions.
Model uncertainty in risk capital measurement
The authors of this paper propose to quantify the effectiveness of a capital estimation procedure via the notions of residual estimation risk and estimated capital risk.
Historical simulation with component weight and ghosted scenarios
This paper puts forward two strategies for improving Historical Simulation in weak areas.
Applied risk management series: Venturing beyond VAR
Venturing beyond historical VAR
Adjusting value-at-risk for market liquidity
Adjusting value-at-risk for market liquidity
Is VAR a useful tool in volatile markets?
Is VAR a useful tool in volatile markets?
Valid Assumptions Required: Historical Simulation VaR
Brett Humphreys discusses the assumptions underlying the calculation of a VAR using the historical simulation methodology.
VAR: history or simulation?
Greg Lambadiaris, Louiza Papadopoulou, George Skiadopoulos and Yiannis Zoulis assess the performance of historical and Monte Carlo simulation in calculating VAR, using data from the Greek stock and bond market. They find that while historical simulation…
VAR: history or simulation?
Greg Lambadiaris, Louiza Papadopoulou, George Skiadopoulos and Yiannis Zoulis assess theperformance of historical and Monte Carlo simulation in calculating VAR, using data from theGreek stock and bond market. They find that while historical simulation…
Changing history
Equity risk management