How Accurate Are Value at Risk Models at Commercial Banks ?  

Oleh:

O'Brien, James ; Berkowitz, Jeremy

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 3 (2002), page 1093-1112.
Topik: BANKS; commercial banks; studies; models; risk; forecasts; correlation analysis
Fulltext: p 1093.pdf (204.78KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.6 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

In recent years, the trading accounts at large commecial banks have grown substantially and become progressively more diverse and complex. We provide descriptive statistics on the trading 5revenues from such activities and ont he associated value at risk (VaR) 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.

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