Performance of monthly multivariate filtered historical simulation value-at-risk

Author's Biography

Stéphane Chrétien is an associate professor of finance at the Faculty of Business Administration of Laval University, Quebec City, where he has taught since 2004. He is also a research affiliate at CIRPÉE and LABIFUL. Stéphane earned his PhD in finance from the Kenan-Flagler Business School of the University of North Carolina, Chapel Hill. His research interests include asset pricing and investments, with a focus on capital markets and portfolio management. Prior to obtaining his PhD, he worked for the Financial Investment Department of Montreal-based Desjardins-Laurentienne Life Insurance Co.

Frank Coggins is an associate professor of finance from the Business Faculty at Universitéde Sherbrooke. He is also a research affiliate at CIRPÉE, an inter-university research group, and the Director of the Research Group in Applied Finance (GReFA) at the Universitéde Sherbrooke. Frank has a PhD in finance from Laval University, Quebec City. He also acquired excellent practical experience while working for more than seven years at the Quebec Department of Finance. His research interests include portfolio management, performance measurements, risk evaluation and management.

Yves Trudel is a professor in the Universitéde Sherbrooke Department of Finance, where he is the coordinator of the MSc Finance (Investment Management) and a member of the Research Group in Applied Finance (GReFA). He has been teaching financial analysis at postgraduate level for the past ten years. He has extended working experience in various financial institutions. Yves holds a PhD from Concordia University; he is also a CFA charterholder. His primary research interest focuses on the valuation and volatilities of closed-end mutual funds.