Cesar Crousillat

Universidad del Pacifico

Professor of Financial Risk Management and Derivatives

Av. Salaverry 2020

Jesus Maria

Lima, Lima 18

Peru

SCHOLARLY PAPERS

7

DOWNLOADS

608

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Ideas:
“  A regime switching option model as an alternative to the jump-diffusion model.  ”

Scholarly Papers (7)

1.

VaR and Expected Shortfall Based on Put Option Formula and Tail Volatilities & Correlations: 'The Need for New Valuation, Risk and Policy Making Models'

Number of pages: 17 Posted: 19 Jul 2015 Last Revised: 21 Feb 2017
Cesar Crousillat
Universidad del Pacifico
Downloads 197 (179,555)

Abstract:

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VaR, CVaR, Black&Scholes, Markowitz, EMH, tail distribution parameters

2.

Stressed Expected Shortfall (ES) and Stressed Analytic VaR for Emerging Markets and Illiquid Assets – Complying with new Basel Committee Standards

Number of pages: 24 Posted: 21 Dec 2017 Last Revised: 18 Feb 2018
Cesar Crousillat
Universidad del Pacifico
Downloads 157 (219,899)

Abstract:

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3.

Historical VaR, CVaR and ES to Liquidation: 'A New Tool to Measure Risk by Regulators and Fund Managers'

Number of pages: 13 Posted: 29 Aug 2015
Cesar Crousillat
Universidad del Pacifico
Downloads 156 (219,899)

Abstract:

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Historic Simulation, VaR, Expected Shortfall, Market Risk, Pension and Mutual Funds, Insurance Companies

4.

Improved Analytic VaR that Avoids Previous Inconsistencies

Number of pages: 15 Posted: 30 Sep 2015 Last Revised: 10 Oct 2015
Cesar Crousillat
Universidad del Pacifico
Downloads 40 (489,440)

Abstract:

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VaR, Regulators, Risk Management, Option Theory

5.

A Multiplicative Factor for Analytic VaR to Avoid Previous Inconsistencies

Number of pages: 16 Posted: 23 Dec 2015 Last Revised: 25 Dec 2015
Cesar Crousillat
Universidad del Pacifico
Downloads 32 (528,066)

Abstract:

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VaR, market risk analysis, capital allocation, sector/assets limits, liquidity, financial fund management

6.
Downloads 26 (561,836)

Abstract:

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LAPVaR, LAPSF, AVaR, ASF, VaR, SF, Market Risk, Liquidity Risk

Abstract:

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VaR, Asian Put Option, PVaR, PSF, Black & Scholes, EMH, Eugene Fama, Tail histogram, Markowitz