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Value-at-Risk Model Risk
Year Of Publication: 2011
Month Of Publication: January
Pages: 24
Download Count: 56
View Count: 1909
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 2-19-2011
Publisher: Administrator
Large banks assess their regulatory capital for market risk using complex, firm-wide Value-at-Risk (VaR) models. In their 'bottom-up' approach to VaR there are many sources of model risk. A recent amendment to banking regulations requires additional market risk capital to cover all these model risks but, as yet, there is no accepted framework for computing such an add-on. We introduce a top-down approach to quantifying VaR model risk in a rigorous statistical framework and derive a corresponding adjustment to regulatory capital that is relatively straightforward to implement.
Alexander, Carol Sign in to follow this author
Sarabia, José Maria Sign in to follow this author
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