Name: Finance and Economics Discussion Series: How Accurate Are Value-At-Risk Models at Commercial Banks (en Inglés)
Price: 87.11 PEN
Availability: InStock
Author: Berkowitz, Jeremy ; O'Brien, James ; United States Federal Reserve Board
ISBN: 9781288716395

portada Finance and Economics Discussion Series: How Accurate Are Value-At-Risk Models at Commercial Banks (en Inglés)

Finance and Economics Discussion Series: How Accurate Are Value-At-Risk Models at Commercial Banks (en Inglés)

Formato

Libro Físico

Autor

United States Federal Reserve Board

Jeremy Berkowitz

Editorial

Bibliogov

Idioma

Inglés

N° páginas

Encuadernación

Tapa Blanda

Dimensiones

24.6 x 18.9 x 0.2 cm

Peso

0.08 kg.

ISBN13

9781288716395

Categorías

Política y gobierno

Finance and Economics Discussion Series: How Accurate Are Value-At-Risk Models at Commercial Banks (en Inglés)

United States Federal Reserve Board (Autor) · Jeremy Berkowitz (Autor) · Bibliogov · Tapa Blanda

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Reseña del libro "Finance and Economics Discussion Series: How Accurate Are Value-At-Risk Models at Commercial Banks (en Inglés)"

In recent years, the trading accounts at large commercial banks have grown substantially and become progressively more diverse and complex. We provide descriptive statistics on the trading revenues from such activities and on the associated Value-at-Risk forecasts internally estimated by banks. For a sample of large bank holding companies, we evaluate the performance of banks' trading risk models by examining the statistical accuracy of the VaR forecasts. Although a substantial literature has examined the statistical and economic meaning of Value-at-Risk models, this article is the first to provide a detailed analysis of the performance of models actually in use.