Stiborová, Eliška; Sznapková, Barbora; Tichý, Tomáš - In: Acta Oeconomica 64 (2014) November, pp. 257-274
The market risk capital charge of financial institutions has been mostly calculated by internal models based on integrated Value at Risk (VaR) approach, since the introduction of the Amendment to Basel Accord in 1996. The internal models should fulfil several quantitative and qualitative...