VaR without correlations for portfolios of derivative securities
提出用GARCH过程过滤历史模拟来建模资产和互换价值的未来分布，通过完全重估基础资产价格变化计算期权价格变化，隐式考虑资产相关性，无需线性化即可得到衍生品组合的VaR值。
We propose filtering historical simulation by GARCH processes to model the future distribution of assets and swap values. Options’ price changes are computed by full reevaluation on the changing prices of underlying assets. Our methodology takes implicitly into account assets’ correlations without restricting their values over time or computing them explicitly. VaR values for portfolios of derivative securities are obtained without linearising them. Historical simulation assigns equal probability to past returns, neglecting current market conditions. Our methodology is a refinement of historical simulation. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 583–602, 1999