The Cost of Conservatism: Extreme Returns, Value-at Risk, and the Basle Multiplicaiton Factor

We argue that most current methodologies for value-at-risk (VaR) underestimate the VaR, and are therefore ill-suited for market risk capital. Better VaR methods are available, such as the tail-fitting method proposed here. However, financial institutions may be relctant to use those mehtods since current market risk regulations may, perversely, provide incentives for banks to underestimate the VaR.

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Year of publication:	1998-02
Authors:	Hartmann, Philipp ; Danielsson, Jon
Institutions:	Financial Markets Group

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Extent:	application/pdf
Series:	FMG Special Papers.
Type of publication:	Book / Working Paper
Notes:	The price is £15 for hardcopies
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005073885