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

44 Pages Posted: 12 Jan 2001

See all articles by Raffaele Zenti

Raffaele Zenti

Ras Asset Management SGR SpA

Massimiliano Pallotta

Ras Asset Management SGR SpA - Risk Management

Date Written: November 2000

Abstract

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 these methodologies:

- can provide satisfactory assessments of tactical risk;

- can inform portfolio managers of changes in market risk;

- are also promising for strategic risk analysis.

Keywords: Asset management, risk,historical simulation, bootstrapping, value at risk, relative value at risk

JEL Classification: C15

Suggested Citation

Zenti, Raffaele and Pallotta, Massimiliano, Risk Analysis for Asset Managers: Historical Simulation, the Bootstrap Approach and Value at Risk Calculation (November 2000). Available at SSRN: https://ssrn.com/abstract=251669 or http://dx.doi.org/10.2139/ssrn.251669

Raffaele Zenti (Contact Author)

Ras Asset Management SGR SpA ( email )

Piazza Velasca 7/9
20122 Milano
Italy
0039 02 80200506 (Phone)

Massimiliano Pallotta

Ras Asset Management SGR SpA - Risk Management ( email )

Corso Italia, 23
Milano
Italy

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
4,801
Abstract Views
16,799
rank
1,874
PlumX Metrics