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the web site of the authentic Filtered Historical Simulation (FHS)

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Papers

New

• An Enhanced Filtered Historical Simulation Approach for Financial Institutions(2026)(PDF)
• Giannopoulos Pairs trading(2025)(PDF)

Our Papers

• Estimating Tail Risk in Ultra-High-Frequency Cryptocurrency Data(2024)(PDF)
• Estimating the Joint Tail Risk Under the Filtered Historical Simulation. An Application to the CCP's Default and Waterfall Fund ( European Journal of Finance (2017) )
• GARCH Options in incomplete markets (2008) (PDF)
• Backtesting derivative portfolios with filtered historical simulation (2002) (PDF)
• Non-parametric VaR techniques; myths and realities (2001) (PDF)
• Don't look back (1998) (PDF) - Note large file, takes a few seconds
• VaR Without Correlations for Nonlinear Portfolios (1998) (PDF)
• A Simplified Approach to the conditional estimation of Value at Risk (VAR) (1996), Futures and Options World, October, 68-72. (PDF)
• "educated estimates" (1996) (PDF)

3rd Party Papers

• Ranking of VaR and ES Models: Performance in Developed and Emerging Markets (2012) (PDF)
• Estimating Value at Risk (VaR) using Filtered Historical Simulation in the Indian capital market (Reserve Bank of India Occasional Papers Vol. 32, No. 2, Monsoon 2011) (PDF)
• Quantifying and Managing Foreign Exchange Risk in the Canadian Department of National Defence (2011) (PDF)
• Masters Thesis. Estimating Value-at-Risk Conditional on Bull and Bear Predictions: A New Approach to Combining Risk Models (2011) (PDF)
• The Hidden Dangers of Historical Simulation (2001) (PDF)

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