The value of Value-at-Risk: A theoretical approach to the pricing and performance of risk measurement systems
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References listed on IDEAS
- Tim Shepheard-Walwyn & Robert B. Litterman, 1998. "Building a coherent risk measurement and capital optimisation model for financial firms," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 171-182.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
- Vlaar, Peter J. G., 2000. "Value at risk models for Dutch bond portfolios," Journal of Banking & Finance, Elsevier, vol. 24(7), pages 1131-1154, July.
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KeywordsBasel accord; Capital adequacy; Risk measurement; Value-at-Risk (VaR); Queuing theory; Erlang formula; Financial institution regulation;
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
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