search query: @author Persand, G. / total: 3
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| Author: | Brooks, C. Persand, G. |
| Title: | Model Choice and Value-at-Risk Performance |
| Journal: | Financial Analysts' Journal
2002 : SEP-OCT, VOL. 58:5, p. 87-97 |
| Index terms: | MODELS VALUE-AT-RISK PERFORMANCE APPRAISAL FINANCE |
| Language: | eng |
| Abstract: | Broad agreement exists among both the investment banking and regulatory communities that the use of internal risk management models is an efficient means for calculating capital risk requirements. The determination of model parameters laid down by the Basle Committee on Banking Supervision as necessary for estimating and evaluating the capital adequacies, however, has received little academic scrutiny. The authors investigate a number of issues of statistical modeling in the context of determining market-based capital risk requirements. The authors highlight several potentially serious pitfalls in commonly applied methodologies and conclude that simple methods for calculating value at risk often provide superior performance to complex procedures. |
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