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La Value-at-Risk: Modèles de la VaR, simulations en Visual Basic (Excel) et autres mesures récentes du risque de marché

Author

Listed:
  • Francois-Éric Racicot

    (Département des sciences administratives, Université du Québec (Outaouais) et LRSP)

  • Raymond Théoret

    (Département de stratégie des affaires, Université du Québec (Montréal))

Abstract

Since the end of the nineties, Basle Committee has required that banks compute periodically their VaR and maintain sufficient capital to pay the eventual losses projected by VaR. Unfortunately, there is not only one measure of VaR because volatility, which is a fundamental component of VaR, is latent. Therefore, banks must use many VaR models to compute the range of their prospective losses. These computations might be complex because the distribution of high frequency returns is not normal. This article analyses many VaR models and produces their programs in Visual Basic. It considers also other new measures of market risk and the use of copulas and Fourier Transform for the computation of VaR.

Suggested Citation

  • Francois-Éric Racicot & Raymond Théoret, 2006. "La Value-at-Risk: Modèles de la VaR, simulations en Visual Basic (Excel) et autres mesures récentes du risque de marché," RePAd Working Paper Series UQO-DSA-wp022006, Département des sciences administratives, UQO.
    • Handle: RePEc:pqs:wpaper:022006
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    File URL: http://www.repad.org/ca/qc/uq/uqo/dsa/VaRRacicotTheoret.pdf
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Ingénierie financière; simulation de Monte Carlo; banques; copules; transformée de Fourier.;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation

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