Popescu, Dumitru D. - In: Theoretical and Applied Economics 05(534)(supplement) (2009) 05(534)(supplement), pp. 56-64
The paper aims at substantiating the market risk assessment of a bank's portfolio that is based on three main indicators, which are used to define exposure limits: – the 99%"Value at Risk" (VaR) method, – a stress-test measurement based on a timeframe shock-type indicator –...