Parametric VaR Analysis

James Ming Chen
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James Ming Chen: Michigan State University

Chapter Chapter 13 in Postmodern Portfolio Theory, 2016, pp 247-259 from Palgrave Macmillan

Abstract: Abstract Leptokurtosis poses an especially keen threat to the economically informed evaluation of market risk in the trading books of major financial institutions (including, but not limited to, those deemed systemically important to global financial stability). Why this should be so warrants a quick look at global banking regulation. I will then describe VaR analysis and its parametric implementation under Gaussian assumptions.

Keywords: Supra Note; Market Risk; Quantile Function; Trading Book; Banking Supervision (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:pal:qpochp:978-1-137-54464-3_13

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DOI: 10.1057/978-1-137-54464-3_13

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