Evaluating different Value-at-Risk calculation methods: Are the Hong Kong Listed Banks’Market Risk Disclosures consistent with the performance?

Evaluating different Value-at-Risk calculation methods: Are the Hong Kong Listed Banks’Market Risk Disclosures consistent with the performance?

This paper studies the quality of Hong Kong listed banks’ market risk Value-at-Risk (VaR) disclosure; of which the Hong Kong stock market contains the diversity of Chinese state-owned banks, international banks with English history, and some Hong Kong local banks. Therefore, focusing on the Hong Kon...

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Bibliographic Details
Main Author: Yuen, Lok Hin David
Format: Dissertation (University of Nottingham only)
Language:English
Published: 2011
Online Access:https://eprints.nottingham.ac.uk/25054/

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