Backtesting Derivative Portfolios with FHS



Filtered historical simulation provides the general framework to our backtests of portfolios of derivative securities held by a large sample of financial institutions. We allow for stochastic volatility and exchange rates. Correlations are maintained implicitly by our simulation procedure. Options are re-priced at each node. Overall results support the adequacy of our framework, but our VaR numbers are too high for swap portfolios at long horizons and too low for options and futures portfolios at short horizons.


Stochastic Volatility Implied Volatility Historical Simulation Option Contract Short Horizon 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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© Giovanni Barone Adesi 2014

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