Showing 1 - 2 of 2
We show that capital charges for foreign currency options estimated using a standardized model proposed by the Basle Committee on Banking Supervison are not consistently related to value at risk (VAR). We propose a simplified incremental model (SIM) and a simplified value at risk (SVAR) model...
Persistent link: https://www.econbiz.de/10005823851
Persistent link: https://www.econbiz.de/10012090037