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About How Accurate Are Value-at-Risk Models at Commercial Banks?
The document analyzes the accuracy of Value-at-Risk (VaR) models used by large commercial banks to measure risk in their growing trading portfolios. It finds that while bank VaR models tend to be conservative, losses sometimes substantially exceed the estimates, clustered during periods of changing volatility. A simpler GARCH volatility model provides forecasts comparable or superior to the banks' structural models. The performance of bank models reflects the difficulty of modeling thousands of risk factors across complex portfolios.
Detailed Information
| Author: | ['Altansukh Gantumur HC'] |
|---|---|
| Publication Year: | 2012 |
| Pages: | 49 |
| Language: | English |
| Format: | |
| Price: | FREE |
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