# metadata.dc.description[].value
Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2020, Director:  Josep Vives i Santa Eulàlia

# metadata.dc.description.abstract[].value
[en] For companies, it is of great importance to be able to calculate financial risk, that makes reference to the possibility of loss that is about the return of an investment. In this project we will focus in two measures to calculate this risk. The first of this is the most well-known, named Value at Risk (VaR), that despite of being one of the most used and easy to calculate, it has been seen that has some inconvenient. Throughout the project
we will see some of them, but we will focus on two. The first fact is that VaR does not take into account unpredictable events, and the second is that it sometimes goes against the principal that diversification should reduce risk. We will see the way in which they can be solved, and obtain a better way of measuring risk, named Average Value at Risk (AVaR). We will also look at calculating these two risk measures for a particular model,
the Black-Scholes model.

# metadata.dc.rights[].value
cc-by-nc-nd (c) Anabel Luis Herrero, 2020

# metadata.dc.source[].value
Treballs Finals de Grau (TFG) - Matemàtiques