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.
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