Analysis of Value at risk in crisis and stability: Case of Mexico and Argentine
DOI:
https://doi.org/10.29105/rinn5.10-4Keywords:
Exchange Rate, Exchange Risk, FIX, Mexico, VolatilityAbstract
The present analysis shows the possible effects of the risk to which the economies of Mexico and Argentina are exposed. The article studies the methodology of the VaR using the parametric model of average variance in individual in the type of change of the economies of Mexico and Argentina. The types from changes of the two economies are taken and the evolution
of the VaR at time of crisis and exchange stability is analyzed. The main disadvantages of the Bar like metric are explained of measurement of risk.
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