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Coherent risk measures under filtered historical simulation

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  • Giannopoulos, Kostas
  • Tunaru, Radu
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-4DF49YD-3/2/417f45a69fb40aa4a2c417e468cc6ed1
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 29 (2005)
    Issue (Month): 4 (April)
    Pages: 979-996

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    Handle: RePEc:eee:jbfina:v:29:y:2005:i:4:p:979-996

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    Web page: http://www.elsevier.com/locate/jbf

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    References

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    1. Frittelli, Marco & Rosazza Gianin, Emanuela, 2002. "Putting order in risk measures," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1473-1486, July.
    2. Ioannis Karatzas & Jaksa Cvitanic, 1999. "On dynamic measures of risk," Finance and Stochastics, Springer, vol. 3(4), pages 451-482.
    3. Acerbi, Carlo, 2002. "Spectral measures of risk: A coherent representation of subjective risk aversion," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1505-1518, July.
    4. Yamai, Yasuhiro & Yoshiba, Toshinao, 2002. "Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 20(1), pages 87-121, January.
    5. Acerbi, Carlo & Tasche, Dirk, 2002. "On the coherence of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1487-1503, July.
    6. Frey, Rudiger & McNeil, Alexander J., 2002. "VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1317-1334, July.
    7. Schmid, Friedrich & Trede, Mark, 2003. "Simple tests for peakedness, fat tails and leptokurtosis based on quantiles," Computational Statistics & Data Analysis, Elsevier, vol. 43(1), pages 1-12, May.
    8. Yamai, Yasuhiro & Yoshiba, Toshinao, 2002. "Comparative Analyses of Expected Shortfall and Value-at-Risk (3): Their Validity under Market Stress," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 20(3), pages 181-237, October.
    9. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    10. McNeil, Alexander J. & Frey, Rudiger, 2000. "Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 271-300, November.
    11. Renato Pelessoni & Paolo Vicig, 2003. "Convex Imprecise Previsions for Risk Measurement," Risk and Insurance 0309001, EconWPA.
    12. Renato Pelessoni & Paolo Vicig, 2002. "Coherent Risk Measures and Upper Previsions," Risk and Insurance 0201001, EconWPA.
    13. Sandro Merino & Mark Nyfeler, 2004. "Applying importance sampling for estimating coherent credit risk contributions," Quantitative Finance, Taylor and Francis Journals, vol. 4(2), pages 199-207.
    14. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
    15. Giovanni Barone-Adesi & Kostas Giannopoulos & Les Vosper, 2002. "Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS)," European Financial Management, European Financial Management Association, vol. 8(1), pages 31-58.
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    Cited by:
    1. Maria Rosa Nieto & Esther Ruiz, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," Statistics and Econometrics Working Papers ws087326, Universidad Carlos III, Departamento de Estadística y Econometría.
    2. Raúl de Jesús, Edgar Ortiz, 2011. "Risk in Emerging Stock Markets from Brazil and Mexico: Extreme Value Theory and Alternative Value at Risk Models," Frontiers in Finance and Economics, SKEMA Business School, vol. 8(2), pages 49-88, October.
    3. Cotter, JOhn & Dowd, Kevin, 2006. "Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements," MPRA Paper 3505, University Library of Munich, Germany.
    4. Kevin Dowd & John Cotter, 2011. "Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements," Working Papers 200742, Geary Institute, University College Dublin.

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