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The Market Value of the Corporate Risk Management Function

✍ Scribed by Steven M. Cassidy, Richard L. Constand and Richard B. Corbett

Book ID
124613632
Publisher
John Wiley and Sons
Year
1990
Tongue
English
Weight
158 KB
Volume
57
Category
Article
ISSN
0022-4367

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## Abstract This paper adopts the backtesting criteria of the Basle Committee to compare the performance of a number of simple Value‐at‐Risk (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