Diamandis, Panayiotis F.; Drakos, Anastassios A.; … - In: International Review of Financial Analysis 20 (2011) 3, pp. 165-176
The financial crisis of 2007-2009 has questioned the provisions of Basel II agreement on capital adequacy requirements and the appropriateness of VaR measurement. This paper reconsiders the use of Value-at-risk as a measure for potential risk of economic losses in financial markets by estimating...