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The Value of Value at Risk: Statistical, Financial, and Regulatory Considerations


Jon Danielsson


London School of Economics - Department of Accounting and Finance

Casper G. De Vries


Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE); Tinbergen Institute; CESifo (Center for Economic Studies and Ifo Institute for Economic Research)

Bjorn N. Jorgensen


University of Colorado at Boulder
October 1998

Economic Policy Review, Vol. 4, No. 3, October 1998

Abstract:     
A summary of the presentation "The Value of Value at Risk: Statistical, Financial, and Regulatory Considerations," by Jon Danielsson, Casper G. de Vries, and Bjørn N. Jørgensen.

Number of Pages in PDF File: 2

Keywords: capital regulation

JEL Classification: G2, G3

working papers series


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Date posted: November 16, 2007  

Suggested Citation

Danielsson, Jon, De Vries, Casper G. and Jorgensen, Bjorn N., The Value of Value at Risk: Statistical, Financial, and Regulatory Considerations (October 1998). Economic Policy Review, Vol. 4, No. 3, October 1998. Available at SSRN: http://ssrn.com/abstract=1029663 or http://dx.doi.org/10.2139/ssrn.1029663

Contact Information

Jon Danielsson (Contact Author)
London School of Economics - Department of Accounting and Finance ( email )
Houghton Street
London WC2A 2AE
United Kingdom
+44.207.955.6056 (Phone)
HOME PAGE: http://www.riskreasearch.org
Casper De Vries
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )
P.O. Box 1738
3000 DR Rotterdam, NL 3062 PA
Netherlands
+31 10 408 8956 (Phone)
+31 10 408 9147 (Fax)
Tinbergen Institute
Burg. Oudlaan 50
Rotterdam, 3062 PA
Netherlands
+31 10 408 8956 (Phone)
+31 10 408 9147 (Fax)
CESifo (Center for Economic Studies and Ifo Institute for Economic Research)
Poschinger Str. 5
Munich, DE-81679
Germany
HOME PAGE: http://www.CESifo.de
Bjorn N. Jorgensen
University of Colorado at Boulder ( email )
419 UCB
Boulder, CO 80309-0419
United States
Feedback to SSRN (Beta)


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