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A benchmark for measuring bias in estimated daily value at risk

✍ Scribed by Imad A. Moosa; Bernard Bollen

Book ID
117714887
Publisher
Elsevier Science
Year
2002
Tongue
English
Weight
246 KB
Volume
11
Category
Article
ISSN
1057-5219

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## Abstract Under the Basel II Accord, banks and other authorized deposit‐taking institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading day, using a variety of value‐at‐risk (VaR) models to measure risk. Sometimes the risk esti