How accurate are Value-at-Risk models at commercial banks?
Year of publication: |
2001
|
---|---|
Authors: | Berkowitz, Jeremy ; O'Brien, James |
Institutions: | Federal Reserve Board (Board of Governors of the Federal Reserve System) |
Subject: | Risk | Econometric models |
-
Risk analysis in theory and practice
Chavas, Jean-Paul, (2004)
-
Can currency-based risk factors help forecast exchange rates?
Ahmed, Shamim, (2016)
-
Growth and risk : methodology and micro evidence
Elbers, Chris, (2006)
- More ...
-
How Accurate Are Value-at-Risk Models at Commercial Banks?
Berkowitz, Jeremy, (2002)
-
Estimating Bank Trading Risk: A Factor Model Approach
O'Brien, James, (2005)
-
How Accurate Are Value-at-Risk Models at Commercial Banks?
Berkowitz, Jeremy, (2002)
- More ...