This paper was presented at the conference "Financial services at the crossroads: capital regulation in the twenty-first century" as part of session 3, "Issues in value-at-risk modeling and evaluation." The conference, held at the Federal Reserve Bank of New York on February 26-27, 1998, was...

Bank supervisory monitoring, both on-site and off-site, generates a wealth of information with which to judge the safety and soundness of banks and bank holding companies (BHCs). For BHCs with publicly traded securities, the monitoring efforts of investors generate additional information that...

Covariance matrix forecasts of financial asset returns are an important component of current practice in financial risk management. A wide variety of models, ranging from matrices of simple summary measures to covariance matrices implied from option prices, are available for generating such...

Since 1998, U.S. commercial banks with significant trading activities have been required to hold capital against their defined market risk exposure. Under the "internal models" approach embodied in the current regulatory guidelines, the capital charges are a function of banks' own value-at-risk...