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

Speranza, Mauro and Garcia Fronti, Javier I. (2013): Nota introductoria al cálculo del capital económico a riesgo en organizaciones con dos unidades de negocio.

Abstract

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.

• Item Type: MPRA Paper
• English Title: Introductory note to the calculation of economic capital at risk in organizations with two business units
• Language: Spanish
• Keywords: VAR, economic capital, risk management
• Subjects: G - Financial Economics > G2 - Financial Institutions and Services; G - Financial Economics > G3 - Corporate Finance and Governance

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