کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
960753 | 929660 | 2006 | 33 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
An analysis of VaR-based capital requirements
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
استراتژی و مدیریت استراتژیک
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چکیده انگلیسی
We study the behavior of a financial institution subject to capital requirements based on self-reported VaR measures, as in the Basel Committee's Internal Models Approach. We view these capital requirements and the associated backtesting procedure as a mechanism designed to induce financial institutions to reveal the risk of their investments and to support this risk with adequate levels of capital. Accordingly, we consider the simultaneous choice of an optimal dynamic reporting and investment strategy. Overall, we find that VaR-based capital requirements can be very effective not only in curbing portfolio risk but also in inducing revelation of this risk.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Intermediation - Volume 15, Issue 3, July 2006, Pages 362-394
Journal: Journal of Financial Intermediation - Volume 15, Issue 3, July 2006, Pages 362-394
نویسندگان
Domenico Cuoco, Hong Liu,