Does One Risk Model Fit All Banks? Some International Comparisons of Value-at-Risk at Listed Banks for Model Selection and Risk Determinants
碩士 === 南華大學 === 財務金融學系財務管理碩士班 === 97 === The accuracy of Value-at-Risk (VaR) estimation is important for banks to predict their market risk under the framework of Basel Committee on Banking Supervision since 1996. However, using different structural risk model might generate different VaR forecasts...
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| Format: | Others |
| Language: | en_US |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/59818254284440712010 |