Market risk management of banks: Implications from the accuracy of value-at-risk forecasts

Journal of Forecasting

Volumn 22, Issue 1, 2003, Pages 23-33

  Wong, Michael Chak Sham ^a   Cheng, Wai Yan ^a   Wong, Clement Yuk Pang ^a  

^a CITY UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Bank management; Capital requirement; GARCH models; Risk management; Value at Risk

Indexed keywords

COSTS; FINANCE; FORECASTING;

BANK MANAGEMENT;

RISK MANAGEMENT;

EID: 0037275344     PISSN: 02776693     EISSN: None     Source Type: Journal    
DOI: 10.1002/for.842     Document Type: Article

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