It pays to Violate: Model Choice and Critical Value Assumption for Forecasting Value-at-Risk Thresholds
The internals models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds which are used to calculate the required capital banks must hold in reserves as a protection against negative changes in the value of their trading portfolios. As capital...
| Main Authors: | , , |
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| Format: | Conference Paper |
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Modelling and Simulation Society of Australia and New Zealand
2005
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| Online Access: | http://www.mssanz.org.au/modsim05/papers/daveiga_2.pdf http://hdl.handle.net/20.500.11937/20086 |