论文信息 - The Value of Value at Risk: Statistical, Financial, and Regulatory Considerations

The Value of Value at Risk: Statistical, Financial, and Regulatory Considerations

A summary of the presentation "The Value of Value at Risk: Statistical, Financial, and Regulatory Considerations," by Jon Danielsson, Casper G. de Vries, and Bjorn N. Jorgensen.

[1] Jon Danielsson,et al. Value-at-Risk and Extreme Returns , 2000 .

[2] Jon Danielsson,et al. The Cost of Conservatism : Extreme Returns , Value-at-Risk , and the Basle ‘ Multiplication Factor ’ , 1998 .

[3] M. Feldstein. Maintaining Financial Stability in a Global Economy , 1998 .

[4] Jon Danielsson,et al. On the (Ir)Relevancy of Value-at-Risk Regulation , 2000 .