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Studies on Value at Risk in Domestic Bank Capital Adequacy
Company: National Central University
Company Url: Click here to open
Year Of Publication: 1998
Month Of Publication: May
Resource Link: Click here to open
Pages: 59
Download Count: 0
View Count: 1506
Comment Num: 0
Language: Chinese
Source: thesis
Who Can Read: Free
Date: 10-4-2011
Publisher: Administrator
VaR is a risk measure approach, which is mainly used to control the market risk. This approach has become more and more popular since the proportion of market risk is growing in the total risk of many firms. In short, VaR transfers abstract risk into concrete numbers by probability distribution of statistics. It is easier to control risk through quantifying measurements. Generally, we have three ways to calculate VaR, and they are delta-normal, historical simulation, and monte-carlo simulation. After Dec. 31 1998, all of domestic banks should obey a new capital requirement regulation, which is set by Ministry of Finance in May 1998. According to this new regulation, banks can choose the standard model or the internal model to calculate their minimum capital requirement. The standard model here is refer to the model proposed by BIS in April 1993 and the internal model here is refer to VaR calculation.
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Kuo, Chiu-Yi Sign in to follow this author
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