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Financial Crisis Dissertations

C/F/20 Financial Crises and the Adequacy of Value at Risk Approaches (The cases of Black Monday, Black Wednesday, and Mexican Peso Crisis)

WORDS:

10000

DATE:

2003

PRICE:

109.99 GBP

ABSTRACT The following paper efforts to identify whether the Value At Risk - market measure for risk - determines adequately the risk of the financial crisis. It was studied in way of calculating the value at risk for three past financial crises: Black Monday 1987, Black Wednesday 1992, and Mexican Peso Crisis 1994. The use of historical data with the historical simulation approach for value at risk enabled to establish whether financial crisis is adequately dealt with or not by the estimation of the value at risk from any potential financial crisis. In conclusion it was established that the value at risk figures, certainly in these cases of crises do not measure extreme market events adequately. To close the use of stress testing and scenario simulation were urged as a compliment to value at risk.

KEYWORDS: f, financial, crises, adequacy, value, risk, approaches, the, black, monday, black, wednesday, mexican, peso, crisis,