Artículo
Applying stress-testing on value at risk (VaR) methodologies
Autor/es | Feria Domínguez, José Manuel
Oliver Alfonso, María Dolores |
Departamento | Universidad de Sevilla. Departamento de Economía Financiera y Dirección de Operaciones |
Fecha de publicación | 2004 |
Fecha de depósito | 2018-12-07 |
Publicado en |
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Resumen | 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. ... 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. |
Cita | 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. |
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