Value at Risk: a Trade-off between Accuracy and Computational Time
Since the 90’s, the Basle and the Basle II committee has required banks to calculate their VaR periodically to maintain a sufficient capital in order to face eventual losses estimated by VaR. Frequently, the risk managers have to choose between the accuracy and the computational time of the VaR. And...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
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2009
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| Online Access: | https://eprints.nottingham.ac.uk/23165/ |