Berkowitz, Jeremy; Christoffersen, Peter; Pelletier, Denis - In: Management Science 57 (2011) 12, pp. 2213-2227
We present new evidence on disaggregated profit and loss (P/L) and value-at-risk (VaR) forecasts obtained from a large international commercial bank. Our data set includes the actual daily P/L generated by four separate business lines within the bank. All four business lines are involved in...