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...
| Autores principales: | , , |
|---|---|
| Formato: | Artículo |
| Lenguaje: | spa |
| Publicado: |
Facultad de Contaduría Pública y Administración
2014
|
| Materias: | |
| Acceso en línea: | https://revistainnovaciones.uanl.mx/index.php/revin/article/view/56 |