Erzegovesi, Luca - Dipartimento di Informatica e Studi Aziendali, … - 2002
Current trends in international banking supervision following the 1996 Amendment to the Basel Accord emphasise market risk control based upon internal Value-at-risk (VaR) models. This paper discusses the merits and drawbacks of VaR models in the light of their impact on market liquidity. After a...