[Forum SIS] UNIME Seminar

[Edoardo Otranto]

Dear All, 
I am glad to announce that on May 3rd, at 11,00 a.m. (Room 12, Building C, Department of Economics, Università di Messina), Prof. G iovanni Barone-Adesi (Università della Svizzera Italiana) will present a seminar en titled: 

Filtered historical simulation and option-implied risk measures 


abstract : 
Filtered historical simulation (FHS) is the most reliable method to evaluate the changing risk of portfolios of stocks, bonds and derivatives. A brief description of its mechanics and its advantages is followed by the backtesting results on portfolios of financial intermediaries and their customers. Hundreds of studies over the last 20 years confirm the reliability of FHS. FHS has been adapted in 2008 to price options and estimate the pricing kernel. Later, behavioral finance provided a paradigm to study sentiment. However a major theoretical problem is still unresolved. Finally, the recent development of option-based risk measure allows for the computation of risk measures fully reflecting current market information. 

Best wishes 

Edoardo Otranto 

-- 
Edoardo Otranto 
Full Professor of Statistics 
Department of Economics 
University of Messina 
Homepage: https://sites.google.com/site/edoardootranto/ 

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