Market risk management of banks: implica
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Michael Chak Sham Wong; Wai Yan Cheng; Clement Yuk Pang Wong
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Article
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2003
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John Wiley and Sons
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English
β 87 KB
π 1 views
## Abstract This paper adopts the backtesting criteria of the Basle Committee to compare the performance of a number of simple ValueβatβRisk (VaR) models. These criteria provide a new standard on forecasting accuracy. Currently central banks in major money centres, under the auspices of the Basle C