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

2 Pages Posted: 16 Nov 2007

See all articles by Jon Danielsson

Jon Danielsson

London School of Economics - Systemic Risk Centre

Casper G. de Vries

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

Bjorn Jorgensen

London School of Economics & Political Science (LSE) - Department of Accounting and Finance

Date Written: 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.

Keywords: capital regulation

JEL Classification: G2, G3

Suggested Citation

Danielsson, Jon and De Vries, Casper 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: https://ssrn.com/abstract=1029663 or http://dx.doi.org/10.2139/ssrn.1029663

Jon Danielsson (Contact Author)

London School of Economics - Systemic Risk Centre ( 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)

Poschinger Str. 5
Munich, DE-81679
Germany

HOME PAGE: http://www.CESifo.de

Bjorn N Jorgensen

London School of Economics & Political Science (LSE) - Department of Accounting and Finance ( email )

Department of Accounting Room, OLD 2.17
Houghton Street
London, WC2A 2AE
United Kingdom

HOME PAGE: http://www.lse.ac.uk/accounting/people/bjorn-jorgensen

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