A study on VaR computation bias
碩士 === 國立臺灣大學 === 國際企業學研究所 === 95 === In 1996, Basel implementation suggests financial institution to use Value at risk (VaR) to determine regulatory capital requirements or internal capital allocations. The correction of VaR calculated has become the key point to decide whether the bank will get ba...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/46600331551999487942 |