The VaR at risk

DOI10.1142/S0219024910005875zbMATH Open1233.91145arXiv2102.02577MaRDI QIDQ3580182FDOQ3580182

Authors: Alfred Galichon 

Publication date: 11 August 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/2102.02577

Recommendations

• scientific article; zbMATH DE number 1538076
• A firm's optimizing behaviour under a value-at-risk constraint
• Equilibrium impact of value-at-risk regulation
• Market risk budgeting with value-at-risk-limits for linear positions
• A decision rule to minimize daily capital charges in forecasting value-at-risk

zbMATH Keywords

value-at-risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Cites Work

• Coherent measures of risk

Cited In (5)

• A firm's optimizing behaviour under a value-at-risk constraint
• Optimal risk sharing in insurance networks. An application to asset-liability management
• Comonotonic measures of multivariate risks
• Using value-at-risk to reconcile limited liability and the moral-hazard problem
• Solvency II, or how to sweep the downside risk under the carpet

This page was built for publication: The VaR at risk

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3580182)