Methods for Evaluating Value-at-Risk Estimates

6 Pages Posted: 16 Nov 2007

See all articles by Jose A. Lopez

Jose A. Lopez

Federal Reserve Bank of San Francisco

Date Written: October 1998

Abstract

As implemented in the United States, the market risk amendment to the Basle Capital Accord requires that commercial banks with significant trading activity provide their regulators with VaR estimates from their own internal models. The VaR estimates will be used to determine the banks' market risk capital requirements. This development clearly indicates the importance of evaluating the accuracy of VaR estimates from a regulatory perspective.

Keywords: capital regulation

JEL Classification: G2, G3

Suggested Citation

Lopez, Jose Antonio, Methods for Evaluating Value-at-Risk Estimates (October 1998). Economic Policy Review, Vol. 4, No. 3, October 1998. Available at SSRN: https://ssrn.com/abstract=1029673 or http://dx.doi.org/10.2139/ssrn.1029673

Jose Antonio Lopez (Contact Author)

Federal Reserve Bank of San Francisco ( email )

101 Market Street
San Francisco, CA 94105
United States
415-977-3894 (Phone)
415-974-2168 (Fax)

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