Title: Sensitivity of VaR measures to different risk models
Abstract: The paper provides an empirical assessment of the market risk exposure of several portfolios representative of real life investment positions. We employ the notion of value at risk made popular by the recent debate on capital budgeting policies of financial intermediaries and by the new capital requirements for banks established by the Basle Committee on Banking Supervision.
Publication Year: 1997
Publication Date: 1997-01-01
Language: en
Type: preprint
Access and Citation
Cited By Count: 4
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot