Internal risk management models and downside-risk measures such as Value-at-Risk (VaR) play an important role in contemporary banking practice. VaR measures the maximum loss born by a bank or other financial institution over a certain time period and given a certain level of confidence....

Internal risk management models and downside-risk measures such as Value-at-Risk (VaR) play an important role in contemporary banking practice. VaR measures the maximum loss born by a bank or other financial institution over a certain time period and given a certain level of confidence....