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
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
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