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

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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