The VaR at risk

DOI10.1142/S0219024910005875MaRDI QIDQ3580182zbMATH OpenFDO

Authors Alfred Galichon

Publication date 11 August 2010

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

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

zbMATH Keywords

value-at-risk

Mathematics Subject Classification ID

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

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.

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

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

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