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Applying stress-testing on value at risk (VaR) methodologies

 

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Opened Access Applying stress-testing on value at risk (VaR) methodologies
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Author: Feria Domínguez, José Manuel
Oliver Alfonso, María Dolores
Department: Universidad de Sevilla. Departamento de Economía Financiera y Dirección de Operaciones
Date: 2004
Published in: Investment Management and Financial Innovations, 4, 62-73.
Document type: Article
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.
Cite: 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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URI: https://hdl.handle.net/11441/80839

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