Bank capital and value at risk

Journal of Derivatives

Volumn 4, Issue 3, 1997, Pages 73-89

  Jackson, Patricia ^a   Maude, David J ^a   Perraudin, William ^b,c  

^a BANK OF ENGLAND   (United Kingdom)

^b UNIVERSITY OF LONDON   (United Kingdom)

^c CEPR   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 50849102239     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.1997.407972     Document Type: Article

References (15)

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4. Hendricks, D. "Evaluation of Value-at-Risk Models Using Historical Data." Federal Reserve Bank 4 New York Economic Policy Review, Vol. 2, No. 1 (April 1996), pp. 39-69.
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11. Newey, W.K., and K.D. West. "A Simple Positive Semidefinite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix." Econometrica, Vol. 55 (1987), pp. 703-708.
12. "Overview of the Amendment to the Capital Accord to Incorporate Market Risk." Bade Committee on Banking Supervision, 1996.
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15. "RiskMetrics Technical Document," third edition. J.P. Morgan, New York, 1995.