Back to Results
First PageMeta Content
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

Document Date: 2005-12-12 06:15:27

Open Document

File Size: 351,81 KB

Share Result on Facebook

Company

VaR / VaRs / P&L / Diebold / /

Country

United States / /

Currency

USD / /

/

Facility

Management University of California / /

IndustryTerm

large bank / bank model / large banking institutions / Average bank results / bank models / bank / bank supervisors / average bank / bank derivative dealers / internal risk management / /

Organization

Graduate School / Federal Reserve Board’s Division of Supervision and Regulation / School of Management University / New York Fed / Federal Reserve Board / University of California / Irvine / Division of Research / Basle Committee on Banking Supervision / /

Person

Jim Embersit / Mike Gibson / Jeremy Berkowitz / Hao Zhou / Philippe Jorion / Denise Dittrich / Matt Pritsker / Irvine James / /

/

Position

*Corresponding author / large trader / rt / Marshall / /

ProvinceOrState

California / /

SocialTag