Purpose -This paper seeks to use an analytical approach to examine the relation of systematic risk and accounting variables. Design/methodology/approach -The paper theoretically integrates the capital asset pricing model, Cobb-Douglas function and clean surplus relation to derive the relation....

Purpose – The Basel II Accord requires that banks and other authorized deposit-taking institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure value-at-risk (VaR). The risk...

Purpose – The Basel II Accord requires that banks and other authorized deposit‐taking institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure value‐at‐risk (VaR). The...