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Quantile Uncertainty and Value-at-Risk Model Risk

  • Published:2012-05-17 Issue:8 Volume:32 Page:1293-1308
  • ISSN:0272-4332
  • Container-title:Risk Analysis
  • language:en
  • Short-container-title:

Author:

Alexander Carol,Sarabia José María

Publisher

Wiley

Subject

Physiology (medical),Safety, Risk, Reliability and Quality

Reference83 articles.

1. Amendment to the capital accord to incorporate market risks Bank for International Settlements, Basel 1996

2. International convergence of capital measurement and capital standards: A revised framework Bank for International Settlements, Basel 2006

3. Revisions to the Basel II market risk framework Bank for International Settlements, Basel 2009

4. Evaluation of Value-at-Risk models using historical data;Hendricks;FRBNY Economic Policy Review,1996

5. The level and quality of Value-at-Risk disclosure by commercial banks;Perignon;Journal of Banking and Finance,2010

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