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The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...
Persistent link: https://www.econbiz.de/10010731585
Carlo methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy tailed …
Persistent link: https://www.econbiz.de/10010731646