Filtered Historical VaR (FHS VaR)

FHS VaR or Filtered Historical VaR is the base for most CCP VaR Initial Margin algorithms (for example Eurex Prisma or LCH PAIRS). It is based on the following work: Giovanni Barone-Adesi, Kostas Giannopoulos, Les Vosper VaR without correlations for portfolio of derivative securities Quaderno. This first suggested the use of FHS VaR as a way to calculate margin. The difference between this and standard historical VaR is that the returns or scenarios are scaled to current volatility.