Risk capital and VaR

Journal of Derivatives

Volumn 7, Issue 2, 1999, Pages 41-52

  Kupiec, Paul H ^a  

^a Federal Home Loan Mortgage Corporation   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0141901792     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.1999.319145     Document Type: Article

References (16)

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7. "An Internal Model-Based Approach to Market Risk Capital Requirements." Basle Committee on Banking Supervision, 1995.
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9. Jorion, Philippe. Value at Risk. New York: McGraw-Hill, 1997.
10. Kupiec, Paul. "Stress Tests and Risk Capital." Working paper, Freddie Mac, July 1999.
11. Kupiec, P., and J. O'Brien. "Commitment is the Key." Risk, Vol. 9, No. 9 (September 1996), pp. 60-64.
12. Marshall, C., and M. Siegel. "Value-At-Risk: Implementing a Risk Measurement Standard." Journal of Derivatives, Vol. 4, No. 3 (Spring 1997).
13. Matten, Chris. Managing Bank Capital: Capital Allocation and Performance Measurement. Chichester, England: John Wiley & Sons, 1997.
14. Merton, Robert. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates." Journal of Finance, Vol. 29 (May 1974), pp. 449-470.
15. Pritsker, Matt. "Evaluating Value-At-Risk Methodologies: Accuracy versus Computational Time." Journal of Financial Services Research, Vol. 1, No. 2 (December 1997).
16. Wilson, Thomas. "Calculating Risk Capital." In Carol Alexander, ed., The Handbook of Risk Management and Analysis. Chichester, England: John Wiley & Sons, 1997, pp. 193-232.