Sensitivity of VAR Measures to Different Risk Models

F. Drudi, A. Generale and G. Majnoni

Working Papers from Banca Italia - Servizio di Studi

Abstract: The paper provides an empirical assessment of the market risk exposure of several portfolios representative of real life investment positions. We employ the notion of value at risk made popular by the recent debate on capital budgeting policies of financial intermediaries and by the new capital requirements for banks established by the Basle Committee on Banking Supervision.

Keywords: RISK (search for similar items in EconPapers)
JEL-codes: D81 G11 (search for similar items in EconPapers)
Pages: 50 pages
Date: 1997
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:fth:banita:317

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