haku: @indexterm COMMERCIAL BANKS / yhteensä: 253
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| Tekijä: | Berkowitz, J. O'Brien, J. |
| Otsikko: | How accurate are value-at-risk models at commercial banks? |
| Lehti: | Journal of Finance
2002 : JUN, VOL. 57:3, p. 1093-1111 |
| Asiasana: | COMMERCIAL BANKS TRADING VALUE-AT-RISK |
| Kieli: | eng |
| Tiivistelmä: | In recent years, the trading accounts at large commercial banks have grown substantially and become progressively more diverse and complex. The authors provide descriptive statistics on the trading revenues from such activities and on the associated Value-at-Risk (VaR) forecasts internally estimated by banks. For a sample of large bank holding companies, the authors evaluate the performance of banks' trading risk models by examining the statistical accuracy of the VaR forecasts. |
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