The VAR at Risk

Alfred Galichon

Papers from arXiv.org

Abstract: I show that the structure of the firm is not neutral in respect to regulatory capital budgeted under rules which are based on the Value-at-Risk.

Date: 2021-02
New Economics Papers: this item is included in nep-rmg
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Published in International Journal of Theoretical and Applied Finance 13-4 (2010) pp. 503-506

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