The value of Value-at-Risk: A theoretical approach to the pricing and performance of risk measurement systems

Journal of Economics and Business - Tập 64 - Trang 199-213 - 2012
Zvi Wiener1
1School of Business Administration, The Hebrew University of Jerusalem, Mount Scopus, 91905 Jerusalem, Israel

Tài liệu tham khảo

Artzner, 1999, Application of coherent risk measures to capital requirements in insurance, North American Actuarial Journal, 3, 10.1080/10920277.1999.10595795 Artzner, 1999, Coherent measures of risk, Mathematical Finance, 9, 203, 10.1111/1467-9965.00068 Crouhy, 2000 Jackson, 1997, Bank capital and value at risk, The Journal of Derivatives, 4, 73, 10.3905/jod.1997.407972 Jagerman, 1974, Some properties of the Erlang loss function, The Bell System Techical Journal, 53, 525, 10.1002/j.1538-7305.1974.tb02756.x Kates, 2000, Risk managing systems 2000, Risk Professional, 2, 19 Kleinrock, 1975, vol. 1 Marshall, 1997, Value at risk: Implementing a risk measurement standard, The Journal of Derivatives, 4, 91, 10.3905/jod.1997.407975 Panico, 1969 Shepheard-Walwyn, 1998, Building a coherent risk measurement and capital optimisation model for financial firms, FRBNY Economic Policy Review, 171 Spain, 2000 Vlaar, 2000, Value at risk models for Dutch bond portfolios, Journal of Banking and Finance, 24, 1131, 10.1016/S0378-4266(99)00068-0 Wolff, 1989