Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/286318 
Title (translated): 
Evolutionary model of the impact of VaR techniques on financial markets
Year of Publication: 
2023
Citation: 
[Journal:] Revista de Métodos Cuantitativos para la Economía y la Empresa [ISSN:] 1886-516X [Volume:] 36 [Year:] 2023 [Pages:] 1-25
Publisher: 
Universidad Pablo de Olavide, Sevilla
Abstract (Translated): 
In recent years, some authors have warned of the increasingly widespread use of risk management techniques by financial institutions, arguing that this can cause the market to become more unstable. To analyse these claims, we present a model based on evolutionary game theory of a financial market, where part of the investors use the VaR technique to manage their risk. We study the evolution of this market through simulation, and we confirm that the use of risk management models can induce instability regimes in the market, characterised by sudden changes in the asset price and sharp increases in the volatility.
Subjects: 
Risk management
VaR
Evolutionary game theory
Financial markets
JEL: 
C63
C73
G01
G10
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-sa Logo
Document Type: 
Article

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