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

Mauro Speranza and Javier I. Garcia Fronti
Authors registered in the RePEc Author Service: Javier Ignacio García-Fronti

MPRA Paper from University Library of Munich, Germany

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.

Keywords: VAR; economic capital; risk management (search for similar items in EconPapers)
JEL-codes: G2 G3 (search for similar items in EconPapers)
Date: 2013-01-30
New Economics Papers: this item is included in nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:44318

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