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Persistent link: https://www.econbiz.de/10011583150
This study compares Value-at-Risk (VaR) measures for Australian banks over a period that includes the Global Financial Crisis (GFC) to determine whether the methodology and parameter selection are important for capital adequacy holdings that will ultimately support a bank in a crisis period. VaR...
Persistent link: https://www.econbiz.de/10014034695