Sensitivity of VaR measures to different risk models

Francesco Drudi (), Andrea Generale () and Giovanni Majnoni ()
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Francesco Drudi: Bank of Italy
Andrea Generale: Bank of Italy
Giovanni Majnoni: Bank of Italy

No 317, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

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. We provide evidence of the extent to which market risk exposures may diverge according to the different methods of risk measurement.

Date: 1997-09
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_317_97

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