Regulatory evaluation of value-at-risk models / José A. López

Beginning in 1998, U.S. commercial banks may determine their regulatory capital requirements for financial market risk exposure using value-at-risk (VaR) models i.e., models of the time-varying distributions of portfolio returns. Currently, regulators have available three hypothesis-testing methods...

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Bibliographic Details
Main Author: López, José A.
Corporate Author: Federal Reserve Bank of New York
Format: Book
Language:English
Published: New York, N.Y. : Federal Reserve Bank of New York, 1997
Series:Staff reports ; n. 33
Subjects:
Online Access:https://www.newyorkfed.org/research/staff_reports/sr33.html