Bostancı, Ahmet; Korkmaz, Turhan - In: Business and Economics Research Journal 5 (2014) 3, pp. 15-41
Banks using advanced VaR models are expected to hold in a lower amount subject to market risk (ASMR) than banks using simple VaR models because of measuring their risk relatively more accurately. The purpose of this study is to test the hypothesis that advanced VaR models which measures risks...