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look-back period sign in to follow this
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What is Wrong with Quantitative Standard d.?
Year Of Publication: 2012
Month Of Publication: April
Resource Link: Click here to open
Pages: 7
Download Count: 0
View Count: 1136
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 5-20-2012
Publisher: Administrator
Summary
The purpose of this paper is to evaluate the quantitative standard d. laid down under the second and third Basel Accords for the implementation of internal market risk models by banks. This standard specifies a minimum historical observation period for VaR models. The paper finds a shortage of research that studies the impact of the quantitative standard on choice of VaR methods and their outputs. The specification of a minimum observation period of one year results in a smoother and less responsive VaR estimate and rules out conditional volatility models. The paper examines the assumption that longer historical periods result in more reliable VaRs and are more likely to incorporate stressed episodes. Both assumptions are questionable.
This document may be downloaded without charge from ssrn.com
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2045665
Author(s)
Sharma, Meera Sign in to follow this author
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