Essays about: "Basle capital charges"

Found 1 essay containing the words Basle capital charges.

  1. 1. Parametric Estimation of Value at Risk

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Lisa Wimmerstedt; [2013]
    Keywords : Value at Risk; Parametric methods; Risk management; Volatility models; Basle capital charges;

    Abstract : Previous research has shown that the non-parametric Value at Risk methods normally used by financial institutions are conservative and that violations often happen in clusters. While earlier research has found efficiency gains from using parametric methods over non-parametric methods, a majority of the studies have been carried out on equity indices. READ MORE