important tool for a credit risk administration system, in the sense that with them a practitioner can easily forecast the …

The financial crisis of the late 2000's highlighted the importance of strengthening risk management systems in … financial markets. Consequently, an increasing interest in strategies to quantify risk under extreme scenarios has spawned. One … market crash, our findings indicate that financial institutions seem relatively more exposed to market risk under this …

plazos. Así, con base en la estimación de la desviación estándar o del VaR (Value at Risk) diario, es usual obtener la …

Financial basics and intuition stresses the importance of investment horizon for risk management and asset allocation …. Following concerns regarding the impact of the long-term dependence assumption on risk (Holton, 1992), this paper quantifies and …bps for a contemporary one-year investment horizon. Thus, as emphasized by Holton (1992), risk is a two …