Chang, Chia-lin; Jiménez-Martín, Juan-Ángel; … - In: Managerial Finance 37 (2011) October, pp. 1088-1106
exceed the estimated VaR. The purpose of this paper is to address the question of risk management of risk, namely VaR of VIX … futures prices. Design/methodology/approach – The authors examine how different risk management strategies performed before …. Originality/value – The paper examines how different risk management strategies performed before, during and after the 2008 …