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I modelli interni per la valutazione del rischio di mercato secondo l'approccio del Value at Risk

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Author Info
Flavio Bazzana () (DISA, Faculty of Economics, Trento University)
Abstract

La metodologia del Value at Risk è diventata lo standard de-facto per la misurazione del rischio di mercato nel sistema bancario internazionale. In questo lavoro si è analizzato tale metodo sotto diverse prospettive: la procedura di calcolo, lo sviluppo della normativa e degli utilizzi operativi nelle banche, lo stato di implementazione nei principali gruppi bancari europei e da parte delle autorità di vigilanza. Per la parte analitica è stata costruita una originale struttura formale per evidenziare le differenze tra i vari metodi di calcolo del VaR, che sono stati poi sviluppati nel linguaggio Matlab per le opportune prove empiriche. Sono stati analizzati i principali utilizzi operativi nell'area finanza di tale metodologia: fissazione di limiti operativi, calcolo della performance, allocazione del capitale. Il lavoro prosegue con la rassegna di alcune esperienze di gruppi bancari europei. Nelle conclusioni vengono evidenziati due aspetti specifici della diffusione del VaR: le modifiche organizzative nelle banche e l'impatto a livello sistemico. Oltre al paper è possibile scaricare le routine in Matlab v. 5 e v. 6

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Publisher Info
Paper provided by Department of Computer and Management Sciences, University of Trento, Italy in its series Alea Tech Reports with number 011.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 88 pages
Date of creation: Jun 2001
Date of revision: 14 Jun 2008
Handle: RePEc:trt:aleatr:011

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Peter F. Christoffersen & Francis X. Diebold & Til Schuermann, 1998. "Horizon Problems and Extreme Events in Financial Risk Management," Center for Financial Institutions Working Papers 98-16, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    Other versions:
  2. Enrico Zaninotto, 1997. "Comitati volontari e standard de-iure," Quaderni DISA 003, Department of Computer and Management Sciences, University of Trento, Italy.
  3. Alessandro Beber, 2001. "Determinants of the implied volatility function on the Italian Stock Market," LEM Papers Series 2001/05, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
  4. Gianni Degasperi, 1999. "La dinamica delle crisi finanziarie: i modelli di Minsky e Kindleberger," Alea Tech Reports 005, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
  5. Jeremy Berkowitz, 1999. "Evaluating the forecasts of risk models," Finance and Economics Discussion Series 1999-11, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  6. Blum, Jurg, 1999. "Do capital adequacy requirements reduce risks in banking?," Journal of Banking & Finance, Elsevier, vol. 23(5), pages 755-771, May. [Downloadable!] (restricted)
  7. Mariangela Franch, 1998. "La comunicazione on-line. Aspetti metodologici e risultati di alcune sperimentazioni," Quaderni DISA 010, Department of Computer and Management Sciences, University of Trento, Italy.
  8. Joseph P. Hughes & William W. Lang & Choon-Geol Moon & Michael S. Pagano, 1998. "Measuring the efficiency of capital allocation in commercial banking," Working Papers 98-2, Federal Reserve Bank of Philadelphia. [Downloadable!]
  9. Philipp Hartmann & Jon Danielsson, 1998. "The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor," FMG Special Papers sp100, Financial Markets Group. [Downloadable!] (restricted)
  10. Umberto Martini, 1998. "Il consorzio di operatori come organo di meta-management di una località turistica," Quaderni DISA 009, Department of Computer and Management Sciences, University of Trento, Italy.
  11. Marco Filagrana, 2000. "Le obbligazioni strutturate nel mercato italiano: principali tipologie e problematiche di valutazione e di rischio," Alea Tech Reports 009, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
  12. Jill Considine, 1998. "Pilot exercise - pre-commitment approach to market risk," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 131-136. [Downloadable!]
  13. Alessandro Beber, 2001. "Determinants of the implied volatility function on the Italian Stock Market," Alea Tech Reports 010, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
  14. Christopher James, 1996. "RAROC Based Capital Budgeting and Performance Evaluation: A Case Study of Bank Capital Allocation," Center for Financial Institutions Working Papers 96-40, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  15. Mario Benassi, 1997. "Spin-offs e grandi imprese: il caso Herox," Quaderni DISA 005, Department of Computer and Management Sciences, University of Trento, Italy.
  16. Alessandro Beber, 1999. "Il dibattito su dignità ed efficacia dell'analisi tecnica nell'economia finanziaria," Alea Tech Reports 003, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
  17. 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. [Downloadable!]
  18. Rime, Bertrand, 2001. "Capital requirements and bank behaviour: Empirical evidence for Switzerland," Journal of Banking & Finance, Elsevier, vol. 25(4), pages 789-805, April. [Downloadable!] (restricted)
  19. Lucas, Andr‚, 1998. "Testing backtesting : an evaluation of the Basle guidelines for backtesting internal risk management models of banks," Serie Research Memoranda 0001, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
  20. Jose A. Lopez, 1999. "Methods for evaluating value-at-risk estimates," Economic Review, Federal Reserve Bank of San Francisco, pages 3-17. [Downloadable!]
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Enrico Zaninotto & Alessandro Rossi & Loris Gaio, 1999. "Stochastic learning in coordination games: a simulation approach," Quaderni DISA 015, Department of Computer and Management Sciences, University of Trento, Italy, revised 29 Jun 2003. [Downloadable!]
    Other versions:
  2. Marco Filagrana, 2002. "Il model risk nella gestione dei rischi di mercato," Alea Tech Reports 015, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008. [Downloadable!]
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