Date of Award
5-2012
Degree Type
Report
Degree Name
Master of Science (MS)
Department
Economics and Finance
Committee Chair(s)
Drew Dahl
Committee
Drew Dahl
Committee
Ben Blau
Committee
James Feigenbaum
Abstract
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.
Recommended Citation
Medina, Jonathan, "Value at Risk In Dominican Banking: Evaluating the Regulatory Method" (2012). All Graduate Plan B and other Reports, Spring 1920 to Spring 2023. 103.
https://digitalcommons.usu.edu/gradreports/103
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Comments
This work made publicly available electronically on April 12, 2012.