A VAR Model as Risk Management Tool and Risk Adjusted Performance Measures

15 Pages Posted: 25 Apr 1999

See all articles by Andrea M. Cremonino

Andrea M. Cremonino

Polytechnic University of Milan - Dipartimento di Economia e Produzione

Marco Attilio Giorgino

Polytechnic University of Milan - Dipartimento di Economia e Produzione

Date Written: December 1998

Abstract

We provide evidence for risk management as a value creation activity. To test this proposition, we introduce risk control in portfolio decision making where in order to assess risk we developed a VaR model that is able to take in multidimensional risks. Then we ran out a simulation according to Italian banking operational procedures: our evidence shows a better performance both as total return and as Sharpie ratio. We argue that Basle standard requirements are less heavier than ones granted by internal models, modified by prudential coefficients.

JEL Classification: G21, G11, G31

Suggested Citation

Cremonino, Andrea and Giorgino, Marco Attilio, A VAR Model as Risk Management Tool and Risk Adjusted Performance Measures (December 1998). Available at SSRN: https://ssrn.com/abstract=160653 or http://dx.doi.org/10.2139/ssrn.160653

Andrea Cremonino (Contact Author)

Polytechnic University of Milan - Dipartimento di Economia e Produzione ( email )

Piazza Leonardo da Vinci, 32
Milan, 20133
Italy
+39-02-2399.2778 (Phone)
+39-02-2399.2720 (Fax)

Marco Attilio Giorgino

Polytechnic University of Milan - Dipartimento di Economia e Produzione

Piazza Leonardo da Vinci, 32
Milan, 20133
Italy

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