We study the use of derivatives in the Spanish mutual fund industry. The picture that emerges from our analysis is rather negative. In general, the use of derivatives does not improve the performance of the funds. In only one out of eight categories we find some (very weak and not robust)...

This paper employs a new approach due to Engle and Manganelli (2004) in order to examine market risk in several major equity markets, as well as for major companies listed in New York Stock Exchange and Athens Stock Exchange. By interpreting the VaR as the quantile of future portfolio values...