Backtesting Derivative Portfolios with Filtered Historical Simulation (FHS)
用过滤历史模拟法回测大量金融机构持有的衍生品组合，允许随机波动率和汇率，隐含保留相关性，在每个节点重新定价期权。整体框架有效，但VaR在长期互换组合偏高、短期期权期货组合偏低。
Filtered historical simulation provides the general framework to our backtests of portfolios of derivative securities held by a large sample of financial institutions. We allow for stochastic volatility and exchange rates. Correlations are preserved implicitly by our simulation procedure. Options are repriced at each node. Overall results support the adequacy of our framework, but our VaR numbers are too high for swap portfolios at long horizons and too low for options and futures portfolios at short horizons.