La Value-at-Risk: Modèles de la VaR, simulations en Visual Basic (Excel) et autres mesures récentes du risque de marché
AbstractSince 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.
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Bibliographic InfoPaper provided by Département des sciences administratives, UQO in its series RePAd Working Paper Series with number UQO-DSA-wp022006.
Length: 77 pages
Date of creation: 12 Jan 2006
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Ingénierie financière; simulation de Monte Carlo; banques; copules; transformée de Fourier.;
Find related papers by 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-01-24 (All new papers)
- NEP-BEC-2006-01-24 (Business Economics)
- NEP-CFN-2006-01-24 (Corporate Finance)
- NEP-FIN-2006-01-24 (Finance)
- NEP-FMK-2006-01-24 (Financial Markets)
- NEP-RMG-2006-01-24 (Risk Management)
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