Risk Analysis for Asset Managers: Historical Simulation, the Bootstrap Approach and Value at Risk Calculation

@inproceedings{Zenti2000RiskAF,
  title={Risk Analysis for Asset Managers: Historical Simulation, the Bootstrap Approach and Value at Risk Calculation},
  author={Raffaele Zenti and Massimiliano Pallotta},
  year={2000}
}
From the risk management's perspective, one of the main differences between asset management companies and banks concerns the investment horizon: typically, asset managers have longer investment horizons. We compare different ways to deal with medium/long horizons, when the aim is to calculate absolute or relative VaR using a historical simulation approach and its variations, like bootstrapping procedures. We use several indices to test the accuracy of the different methods analysed. We find… CONTINUE READING