Value at Risk Disclosures: The Case of Canada Revisited

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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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Bibliographic Details
Main Author:	Alkhub, Hala
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2011
Online Access:	https://eprints.nottingham.ac.uk/25329/

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