The VAR at Risk

Galichon, Alfred

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The VAR at Risk

International Journal on Theoretical and Applied Finance, Vol. 13, No. 4, pp. 503-506

4 Pages Posted: 22 Oct 2008 Last revised: 9 Apr 2011

Alfred Galichon

NYU, Department of Economics and Courant Institute

Date Written: June 5, 2008

Abstract

I show that the structure of the firm is not neutral in respect to regulatory capital budgeted under rules which are based on the Value-at-Risk.

Keywords: Value-at-Risk, structure of the firm, capital allocation rule, comonotonicity

Suggested Citation: Suggested Citation

Galichon, Alfred, The VAR at Risk (June 5, 2008). International Journal on Theoretical and Applied Finance, Vol. 13, No. 4, pp. 503-506. Available at SSRN: https://ssrn.com/abstract=1287807

Alfred Galichon (Contact Author)

NYU, Department of Economics and Courant Institute ( email )

269 Mercer Street, 7th Floor
New York, NY 10011
United States

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The VAR at Risk

Alfred Galichon

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Alfred Galichon (Contact Author)

NYU, Department of Economics and Courant Institute ( email )

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The VAR at Risk

Alfred Galichon

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Alfred Galichon (Contact Author)

NYU, Department of Economics and Courant Institute ( email )

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