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Basel's value-at-risk capital requirement regulation: An efficiency analysis

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  • Kaplanski, Guy
  • Levy, Haim
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-4N7RW72-1/2/c98341d39cd787a46ac93fde9f1221b2
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 31 (2007)
    Issue (Month): 6 (June)
    Pages: 1887-1906

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    Handle: RePEc:eee:jbfina:v:31:y:2007:i:6:p:1887-1906

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    Web page: http://www.elsevier.com/locate/jbf

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    1. Grossman, S.J. & Vila, J-L., 1988. "Portfolio Insurance In Complete Markets: A Note," Papers 94, Princeton, Department of Economics - Financial Research Center.
    2. Basak, Suleyman & Shapiro, Alexander, 2001. "Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices," Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 371-405.
    3. M.J.B. Hall, 1996. "The amendment to the capital accord to incorporate market risk," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 49(197), pages 271-277.
    4. Suleyman Basak & Alex Shapiro & Lucie Teplá, 2006. "Risk Management with Benchmarking," Management Science, INFORMS, vol. 52(4), pages 542-557, April.
    5. Basak, Suleyman, 1995. "A General Equilibrium Model of Portfolio Insurance," Review of Financial Studies, Society for Financial Studies, vol. 8(4), pages 1059-90.
    6. M.J.B. Hall, 1996. "The amendment to the capital accord to incorporate market risk," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 49(197), pages 271-277.
    7. Grossman, Sanford J & Zhou, Zhongquan, 1996. " Equilibrium Analysis of Portfolio Insurance," Journal of Finance, American Finance Association, vol. 51(4), pages 1379-1403, September.
    8. Darryll Hendricks & Beverly Hirtle, 1997. "Bank capital requirements for market risk: the internal models approach," Economic Policy Review, Federal Reserve Bank of New York, issue Dec, pages 1-12.
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    Cited by:
    1. Bouaiss, Karima & Refait-Alexandre, Catherine & Alexandre, Hervé, 2010. "Will Bank Transparency really Help Financial Markets and Regulators?," Economics Papers from University Paris Dauphine 123456789/4060, Paris Dauphine University.
    2. Kerkhof, Jeroen & Melenberg, Bertrand & Schumacher, Hans, 2010. "Model risk and capital reserves," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 267-279, January.
    3. Philip Maymin & Zakhar Maymin, 2012. "Any regulation of risk increases risk," Financial Markets and Portfolio Management, Springer, vol. 26(3), pages 299-313, September.
    4. Guillén, Montserrat & Sarabia, José María & Prieto, Faustino, 2013. "Simple risk measure calculations for sums of positive random variables," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 273-280.

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