Rossignolo, Adrian F.; Fethi, Meryem Duygun; Shaban, Mohamed - In: International Journal of Banking, Accounting and Finance 4 (2012) 2, pp. 94-134
Current directives issued by the Basel Committee have established value-at-risk (VaR) as the standard measure to quantify market risk. In view of the wide range of applications and regulatory requirements, the development of accurate techniques becomes a topic of prime importance. VaR should...