Dias, Alexandra - In: Journal of Banking & Finance 37 (2013) 12, pp. 5248-5260
the role of market capitalization in the estimation of Value-at-Risk (VaR). We test the performance of different VaR … methodologies for portfolios with different market capitalization. We perform the analysis considering separately financial crisis … capitalization. For portfolios with stocks of different sizes we obtain better VaR estimates when taking market capitalization into …