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Sensitivity of VAR Measures to Different Risk Models

Author

Listed:
  • Drudi, F.
  • Generale, A.
  • Majnoni, G.

Abstract

The paper provides an empirical assessment of the market risk exposure of several portfolios representative of real life investment positions. We employ the notion of value at risk made popular by the recent debate on capital budgeting policies of financial intermediaries and by the new capital requirements for banks established by the Basle Committee on Banking Supervision.

Suggested Citation

  • Drudi, F. & Generale, A. & Majnoni, G., 1997. "Sensitivity of VAR Measures to Different Risk Models," Papers 317, Banca Italia - Servizio di Studi.
    • Handle: RePEc:fth:banita:317
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    Cited by:

    1. Izhar, Hylmun, 2012. "Measuring Operational Risk Exposures in Islamic Banking: A Proposed Measurement Approach," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 20, pages 45-86.

    More about this item

    Keywords

    RISK;

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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