El stress-testing en las metodologías VerR
ISSN: 0006-6249
Year of publication: 2004
Issue Title: Ampliación de la Unión Europea
Volume: 59
Issue: 181
Pages: 155-182
Type: Article
More publications in: Boletín de estudios económicos
Abstract
In the last few years, Value at Risk (VaR) methodologies have experienced an spectacular growth within Basle II regulatory context. Moreover, some complementary analysis such as Stress-testing and Back-testing have also gained the same importance. In this paper, we focus on Stress-testing. In that sense, we intent to measure the effect of two well known historical stressed scenarios on Value at Risk estimates which are obtained after applying the three main methodologies, Parametric VaR, Historical Simulation and Montecarlo Simulation to a Spanish stock portfolio. In particular, we have analysed the impact of 11th September attack and the Latin-American crisis of 2002 on Value at Risk figures