Document Search
Add To My Bookshelf Sign in or Register Save And Annotate

look-back period sign in to follow this
backtesting sign in to follow this
regulation sign in to follow this
internal models sign in to follow this
Basel sign in to follow this

VaR Uses sign in to follow this
--Regulatory Requirements sign in to follow this
Discuss This Paper
Sign in to follow this page
Recent Comments
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: 1435
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 5-20-2012
Publisher: Administrator
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
Sharma, Meera Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?

Repeat Email:
User Name:
Confirm Password:

Sign Up

Welcome to GloriaMundi!
Thanks for singning up

continue or edit your profile