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The value of value at risk: statistical, financial, and regulatory considerations (summary)


  • Jon Danielsson
  • Casper De Vries
  • Bjorn N. Jorgensen


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  • Jon Danielsson & Casper De Vries & Bjorn N. Jorgensen, 1998. "The value of value at risk: statistical, financial, and regulatory considerations (summary)," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 107-108.
  • Handle: RePEc:fip:fednep:y:1998:i:oct:p:107-108:n:v.4no.3

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    References listed on IDEAS

    1. 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.
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    Risk ; Forecasting;


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