English, Article, Journal or magazine article edition: The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor Philipp Hartmann; Jon Danielsson

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/45684
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor
Author
  • Philipp Hartmann
  • Jon Danielsson
Physical Description
  • preprint
Notes
  • We argue that most current methodologies for value-at-risk (VaR) underestimate the VaR, and are therefore ill-suited for market risk capital. Better VaR methods are available, such as the tail-fitting method proposed here. However, financial institutions may be relctant to use those mehtods since current market risk regulations may, perversely, provide incentives for banks to underestimate the VaR.
  • RePEc:fmg:fmgsps:sp100
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment