Testing popular VaR models in EU new member and candidate states
The impact of allowing banks to calculate their capital requirement based on their internal VaR models, and the impact of regulation changes on banks in transitional countries has not been well studied. This paper examines whether VaR models that are created and suited for developed markets apply to...
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| Format: | Article |
| Language: | deu |
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Faculty of Economics University of Rijeka
2007-12-01
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| Series: | Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu |
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| Online Access: | https://www.efri.hr/sites/efri.hr/files/cr-collections/2/07_zikovic.pdf |