文章基本信息

标题：Applying Stress-Testing On Value at Risk(VaR)Methodologies
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作者：José Manuel Feria Domínguez ; María Dolores Oliver Alfonso
期刊名称：Investment Management & Financial Innovations
印刷版ISSN：1810-4967
电子版ISSN：1812-9358
出版年度：2004
卷号：1
期号：4
页码：62-73
语种：English
出版社：LLC “Consulting Publishing Company “Business Perspectives”
摘要：In recent years,Value at Risk(VaR)methodologies,i.e.,Parametric VaR,Historical Simulation and the Monte Carlo Simulation have experienced spectacular growth within the new regulatory framework which is Basle II.Moreover,complementary analyses such a Stress-testing and Back-testing have also demonstrated their usefulness for financial risk managers. In this paper,we develop an empirical Stress-Testing exercise by using two historical scenarios of crisis.In particular,we analyze the impact of the 11-S attacks(2001)and the Latin America crisis(2002)on the level of risk,previously calculated by different statistical methods. Consequently,we have selected a Spanish stock portfolio in order to focus on market risk.
关键词：Stress-Testing;Value at Risk;Market Risk Management.