Stavroyiannis, S.; Makris, I.; Nikolaidis, V.; Zarangas, L. - In: International Review of Financial Analysis 22 (2012) C, pp. 10-17
The recent financial crisis of 2007–2009 has challenged the requirements of Basel II agreement on capital adequacy as well as, the appropriateness of value-at-risk (VaR) measurement for properly “back-tested” and “stress-tested” models. This paper reconsiders the use of VaR as a...
