dc.creator | Feria Domínguez, José Manuel | es |
dc.creator | Oliver Alfonso, María Dolores | es |
dc.date.accessioned | 2018-12-07T11:44:48Z | |
dc.date.available | 2018-12-07T11:44:48Z | |
dc.date.issued | 2004 | |
dc.identifier.citation | Feria Domínguez, J.M. y Oliver Alfonso, M.D. (2004). Applying stress-testing on value at risk (VaR) methodologies. Investment Management and Financial Innovations, 4, 62-73. | |
dc.identifier.issn | 1810-4967 | es |
dc.identifier.issn | 1812-9358 | es |
dc.identifier.uri | https://hdl.handle.net/11441/80839 | |
dc.description.abstract | In recent years, Value at Risk (VaR) methodologies, i. e., Parametric VaR, Historical
Simulation and the Monte Carlo Simulation have experienced spectacular growth within the new
regulatory framework which is Basle II. Moreover, complementary analyses such a Stress-testing
and Back-testing have also demonstrated their usefulness for financial risk managers.
In this paper, we develop an empirical Stress-Testing exercise by using two historical scenarios
of crisis. In particular, we analyze the impact of the 11-S attacks (2001) and the Latin
America crisis (2002) on the level of risk, previously calculated by different statistical methods.
Consequently, we have selected a Spanish stock portfolio in order to focus on market risk. | es |
dc.format | application/pdf | es |
dc.language.iso | eng | es |
dc.publisher | LLC “Consulting Publishing Company “Business Perspectives” | es |
dc.relation.ispartof | Investment Management and Financial Innovations, 4, 62-73. | |
dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 Internacional | * |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | * |
dc.subject | Stress-Testing | es |
dc.subject | Value at Risk | es |
dc.subject | Market Risk Management | es |
dc.title | Applying stress-testing on value at risk (VaR) methodologies | es |
dc.type | info:eu-repo/semantics/article | es |
dcterms.identifier | https://ror.org/03yxnpp24 | |
dc.type.version | info:eu-repo/semantics/publishedVersion | es |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | es |
dc.contributor.affiliation | Universidad de Sevilla. Departamento de Economía Financiera y Dirección de Operaciones | es |
dc.relation.publisherversion | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/1156/imfi_en_2004_04_Dominguez.pdf | es |
idus.format.extent | 13 | es |
dc.journaltitle | Investment Management and Financial Innovations | es |
dc.publication.issue | 4 | es |
dc.publication.initialPage | 62 | es |
dc.publication.endPage | 73 | es |