Browsing School of Economic Sciences and Business by Author "Bourgoin, Frederick"

Now showing items 1-2 of 2

  • Don't look back 

    Barone-Adesi, Giovanni; Bourgoin, Frederick; Giannopoulos, Kostas (1998)
    Value at risk is becoming increasingly popular as a management and regulatory tool. But before this acceptance goes much further, we need to assess its reliability under financial market conditions. Most VAR models deal ...

  • A Probabilistic Approach to Worst Case Scenarios 

    Barone-Adesi, Giovanni; Bourgoin, Frederick; Giannopoulos, Kostas (1997)
    Value at Risk (VaR) is increasingly popular as a management and regulatory tool. To further its acceptance it is necessary to assess its reliability under conditions likely to be encountered in financial markets. A logical ...