Value at Risk Disclosures: The Case of Canada Revisited
This paper is based on the empirical analysis that has been conducted by (Pérignon, Deng and Wang, 2007), to test whether the Royal bank of Canada (RBC) and the Bank of Montreal (BMO) are overstating their Value at Risk (VaR). This study is based on non-anonymous data of the daily VaR and P&L fo...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2011
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| Online Access: | https://eprints.nottingham.ac.uk/25329/ |