How Accurate are Value-at-Risk Models at Commercial Banks? Jeremy Berkowitz* Graduate School of Management University of California, Irvine

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Date: 2005-12-12 06:15:27 Financial risk Econometrics Time series analysis Actuarial science Autoregressive conditional heteroskedasticity Value at risk Vector autoregression Volatility Standard deviation Statistics Mathematical sciences Mathematical finance		How Accurate are Value-at-Risk Models at Commercial Banks? Jeremy Berkowitz* Graduate School of Management University of California, Irvine Add to Reading List Source URL: www.bis.org Download Document from Source Website File Size: 351,81 KB Share Document on Facebook

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