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Don't look back

dc.contributor.authorBarone-Adesi, Giovanni
dc.contributor.authorBourgoin, Frederick
dc.contributor.authorGiannopoulos, Kostas
dc.description.abstractValue 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.en_UK
dc.relation.ispartofseriesMarket Risk;
dc.subjectResearch Subject Categories::SOCIAL SCIENCES::Business and economicsen_UK
dc.subjectValue at Risken_UK
dc.titleDon't look backen_UK

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