Nota introductoria al cálculo del capital económico a riesgo en organizaciones con dos unidades de negocio
[Introductory note to the calculation of economic capital at risk in organizations with two business units]
AbstractThis introductory note discusses the calculation of value at risk (VaR) of a company with two departments. The problem is analysed under two scenarios and compared. Firstly, the problem is studied under the assumption of normality of the distribution and, secondly, the calculation is made assuming fat tails using extreme value theory.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 44318.
Date of creation: 30 Jan 2013
Date of revision:
VAR; economic capital; risk management;
Find related papers by JEL classification:
- G2 - Financial Economics - - Financial Institutions and Services
- G3 - Financial Economics - - Corporate Finance and Governance
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