It pays to Violate: Model Choice and Critical Value Assumption for Forecasting Value-at-Risk Thresholds

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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...

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Bibliographic Details
Main Authors:	Da Veiga, Bernardo, Chan, Felix, McAleer, M.
Other Authors:	Andre Zerger
Format:	Conference Paper
Published:	Modelling and Simulation Society of Australia and New Zealand 2005
Online Access:	http://www.mssanz.org.au/modsim05/papers/daveiga_2.pdf http://hdl.handle.net/20.500.11937/20086

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