Methods for Evaluating Value-at-Risk Estimates
6 Pages Posted: 16 Nov 2007
Date Written: October 1998
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: Suggested Citation