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Nota introductoria al cálculo del capital económico a riesgo en organizaciones con dos unidades de negocio
[Introductory note to the calculation of economic capital at risk in organizations with two business units]

Author

Listed:
  • Speranza, Mauro
  • Garcia Fronti, Javier I.

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.

Suggested Citation

  • Speranza, Mauro & Garcia Fronti, Javier I., 2013. "Nota introductoria al cálculo del capital económico a riesgo en organizaciones con dos unidades de negocio [Introductory note to the calculation of economic capital at risk in organizations with tw," MPRA Paper 44318, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:44318
    as

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    File URL: https://mpra.ub.uni-muenchen.de/44318/1/MPRA_paper_44318.pdf
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    References listed on IDEAS

    as
    1. Paul Embrechts & Sidney Resnick & Gennady Samorodnitsky, 1999. "Extreme Value Theory as a Risk Management Tool," North American Actuarial Journal, Taylor & Francis Journals, vol. 3(2), pages 30-41.
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    More about this item

    Keywords

    VAR; economic capital; risk management;
    All these keywords.

    JEL classification:

    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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    This paper has been announced in the following NEP Reports:

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