Can reported VaR be used as an indicator of the volatility of share prices? Evidence from UK banks.

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Can reported VaR be used as an indicator of the volatility of share prices? Evidence from UK banks.

Value at Risk (VaR) is used as an indicator to measure the risks contained in a firm. With the uprising development of VaR theory and computational techniques, the VaR is nowadays adopted by banks and reported in annual reports. Since the method to calculate VaR is questioned, and the reported VaR c...

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Bibliographic Details
Main Author:	Ou, Shian Kao
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2006
Online Access:	https://eprints.nottingham.ac.uk/21444/

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