Value at Risk using Historical Simulation upon negative rates
DOI:
https://doi.org/10.29105/rinn12.23-5Keywords:
historical simulation, Mexico, negative rates, Value at RiskAbstract
On recent years many countries have tried to reactivate their economies with a monetary policy that has established low interest rate levels as an effect of 2007 financial crisis. This rate reduction generates misleading results on Value at Risk calculations on certain instruments when rates tend to negative values.
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