Value at risk (VaR) in uncertainty: Analysis with parametric method and black & scholes simulations
VaR is the most accepted risk measure worldwide and the leading reference in any risk management assessment. However, its methodology has important limitations which makes it unreliable in contexts of crisis or high uncertainty. For this reason, the aim of this work is to test the VaR accuracy when...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universidad Autónoma de Nuevo León
2014-07-01
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| Series: | Innovaciones de Negocios |
| Subjects: | |
| Online Access: | http://www.web.facpya.uanl.mx/rev_in/Revistas/11_22/11.22%20Art1%20pp%20117%20-%20190.pdf |