Abstract
Since 1998, regulatory guiding principles have required banks with significant trading activity to set aside capital to insure against extreme portfolio losses. The size of the market risk capital requirement is directly related to a measure of portfolio risk. Currently, in the regulatory framework, portfolio risk is measured in terms of its Value-at-Risk (VaR). Also in the community of asset management companies the quest for reliable risk management techniques has grown in recent years. The concept of VaR is now widespread among asset managers. This is an answer to the demand of sophisticated investors, such as pension funds and foundations, and it is also a clear response to the growing interest of asset managers for analytical tools that give better control on their portfolios.
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© 2007 Raffaele Zenti, Massimiliano Pallotta and Claudio Marsala
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Zenti, R., Pallotta, M., Marsala, C. (2007). Evaluating Value-at-Risk Estimates: A Cross-Section Approach. In: Gregoriou, G.N. (eds) Advances in Risk Management. Finance and Capital Markets Series. Palgrave Macmillan, London. https://doi.org/10.1057/9780230625846_11
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DOI: https://doi.org/10.1057/9780230625846_11
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-28543-3
Online ISBN: 978-0-230-62584-6
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