Download This PaperThe 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
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
Do you want regular updates from SSRN on Twitter?
Recommended Papers
-
Comonotonic Measures of Multivariate Risks
By Ivar Ekeland, Alfred Galichon, ...
-
Comonotonic Measures of Multivariate Risks
By Ivar Ekeland, Alfred Galichon, ...
-
Dual Theory of Choice Under Multivariate Risks
By Alfred Galichon and Marc Henry
-
Between the Domestic and the Foreign: Centering the Nation's Edges
-
Extreme Dependence for Multivariate Data
By Damien Bosc and Alfred Galichon
-
Local Utility and Multivariate Risk Aversion
By Arthur Charpentier, Alfred Galichon, ...
-
Efficient Trading Strategies in Financial Markets with Proportional Transaction Costs
By Elyes Jouini, Luciano Campi, ...