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 either with the non-normality of security returns or with their conditional heteroscedasticity, but not with both. We are developing a modified historical simulation approach that allows for both effects.

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