Value at Risk (VaR) in uncertainty: Analysis with parametric method and Black & Scholes simulations (Valor en Riesgo (VaR) en incertidumbre: Análisis con el método paramétrico y simulaciones con Black & Scholes)

Abstract: 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 accu...

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Bibliographic Details
Main Authors: Banda Ortiz, Humberto, Pérez Sosa, Felipe, Gómez Hernández, Denise
Format: Article
Language:Spanish / Castilian
Published: Facultad de Contaduría Pública y Administración U.A.N.L. 2014
Subjects:
Online Access:http://eprints.uanl.mx/12602/1/11.22%20Art1%20pp%20117%20-%20190.pdf

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