How accurate are Value-at-Risk models at commercial banks?
Year of publication: |
2001
|
---|---|
Authors: | Berkowitz, Jeremy ; O'Brien, James |
Institutions: | Federal Reserve Board (Board of Governors of the Federal Reserve System) |
Subject: | Risk | Econometric models |
-
Risk analysis in theory and practice
Chavas, Jean-Paul, (2004)
-
Growth and risk : methodology and micro evidence
Elbers, Chris, (2006)
-
Hedging and risk aversion constraints
Cotter, John, (2005)
- More ...
-
Estimating bank trading risk : a factor model approach
O'Brien, James, (2006)
-
Estimating bank trading risk : a factor model approach
O'Brien, James M., (2005)
-
How accurate are value-at-risk models at commercial banks?
Berkowitz, Jeremy, (2002)
- More ...