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Integrated Risk Management with a Filtered Bootstrap Approach
Company: Ras Asset Management
Year Of Publication: 2004
Month Of Publication: January
Pages: 16
Download Count: 836
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Comment Num: 0
Language: EN
Source: working paper
Who Can Read: Free
Date: 2-6-2005
Publisher: Administrator
Summary
We present a multiperiod risk model to measure portfolio risk that integrates market risk, credit risk and, in asimplified way, liquidity risk. Thus, it overcomes the major limitation currently shared by many risk models, that are unable to give a complete picture of all portfolio risks according to a single, coherent framework. The model is based on the Filtered Bootstrap approach, hence it captures conditional heteroskedasticity, serial correlation and non-normality in the risk factors, that is, most of the features of observed financial time series. Being a simulation risk model it copes in a natural way with derivatives as it allows the full valuation of theprobability density function of the contracts. In addition, it is a suitable and flexible way to generate future scenarios on medium term horizons, so this model is particularly appropriate for asset management companies.
This document is published in Economic Notes (volume 33, number 3) November 2004, 375-398.
http://dx.doi.org/10.1111/j.0391-5026.2004.00137.x
Author(s)
Marsala, Claudio Sign in to follow this author
Pallotta, Massimiliano Sign in to follow this author
Zenti, Raffaele Sign in to follow this author
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