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...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/46600331551999487942 |
| Summary: | 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 bankrupt or not. However, VaR is hard to avoid the errors of estimation, so we want to know what factors cause VaR to be biased, what level they affect VaR, and what limitations VaR has.
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