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Estimating the joint tail risk under the filtered historical simulation: An application to the CCP’s default and waterfall fund

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  • Giovanni Barone-Adesi
  • Kostas Giannopoulos
  • Les Vosper

Abstract

The estimation of joint tail risk is necessary to evaluate the size of portfolio margins and default funds of central counterparties. The ability of filtered historical simulation to satisfy new regulatory requirements in this area is examined at the very high confidence levels, necessary to ensure market integrity over time.

Suggested Citation

  • Giovanni Barone-Adesi & Kostas Giannopoulos & Les Vosper, 2018. "Estimating the joint tail risk under the filtered historical simulation: An application to the CCP’s default and waterfall fund," The European Journal of Finance, Taylor & Francis Journals, vol. 24(5), pages 413-425, March.
    • Handle: RePEc:taf:eurjfi:v:24:y:2018:i:5:p:413-425
    DOI: 10.1080/1351847X.2017.1308876
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    Cited by:

    1. Berndsen, Ron, 2020. "Five Fundamental Questions on Central Counterparties," Other publications TiSEM 1f3bd844-92ab-4104-8f57-9, Tilburg University, School of Economics and Management.
    2. Injun Hwang & Baeho Kim, 2022. "A systemic change of measure from central clearing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1738-1754, September.
    3. Ron Berndsen, 2021. "Fundamental questions on central counterparties: A review of the literature," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(12), pages 2009-2022, December.

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