The project aims for the comparison and development of methods for the treatment of volatility risk in market risk calculations. The methodological framework under con- sideration is "historical simulation" where future scenarios for market parameters are directly sampled from the observed (i.e. "historical") changes of these parameters. This will be investigated for equity prices, foreign exchange and interest rates. The situation is more difficult for volatilities implied from option prices. Even though the latter represent an asset (and risk factor) class of their own, up to now there is no generally accepted theory on their time behaviour and statistical properties.

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