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