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Barone-Adesi et al., 2018 - Google Patents

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

Barone-Adesi et al., 2018

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Document ID
9008359107659155437
Author
Barone-Adesi G
Giannopoulos K
Vosper L
Publication year
Publication venue
The European Journal of Finance

External Links

Snippet

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 …
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