Date of Award
Master of Science (MS)
Economics and Finance
Dr. Drew Dahl
Financial institutions in the Dominican Republic, since 2004, have used the regulatory Value at Risk to measure market risk. This method is subject to criticism. The purpose of this study is to compare the regulatory VaR method against the Historic Simulation, Generalized Autoregressive Conditional Heteroskedasticity, and Monte Carlo approaches. The latter is more conservative and its assumptions are more realistic.
Medina, Jonathan, "Value at Risk In Dominican Banking: Evaluating the Regulatory Method" (2012). All Graduate Plan B and other Reports. Paper 103.
Copyright for this work is retained by the student.