Allen, David E.; Singh, Abhay K.; Powell, Robert J. - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 355-369
Value-at-Risk (VaR) has become the universally accepted risk metric adopted internationally under the Basel Accords for banking industry internal control, capital adequacy and regulatory reporting. The recent extreme financial market events such as the Global Financial Crisis (GFC) commencing in...