Nota introductoria al cálculo del capital económico a riesgo en organizaciones con dos unidades de negocio

This introductory note discusses the calculation of value at risk (VaR) of a company with two departments. The problem is analysed under two scenarios and compared. Firstly, the problem is studied under the assumption of normality of the distribution and, secondly, the calculation is made assuming fat tails using extreme value theory.

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Alternative title:	Introductory note to the calculation of economic capital at risk in organizations with two business units
Year of publication:	2013-01-30
Authors:	Speranza, Mauro ; Garcia Fronti, Javier I.
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	VAR \| economic capital \| risk management

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	G2 - Financial Institutions and Services ; G3 - Corporate Finance and Governance
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011108514