金融时间序列分析(英文版)(pdf 33页)
金融时间序列分析(英文版)(pdf 33页)内容简介
金融时间序列分析(英文版)内容提要:
Abstract:
We study the behavior of a financial institution subject to capital requirements based on selfreported
VaR measures, as in the Basel Committee’s Internal Models Approach. We view these
capital requirements and the associated backtesting procedure as a mechanism designed to induce
financial institutions to reveal the risk of their investments and to support this risk with adequate
levels of capital. Accordingly, we consider the simultaneous choice of an optimal dynamic reporting
and investment strategy. Overall, we find that VaR-based capital requirements can be very effective
not only in curbing portfolio risk but also in inducing revelation of this risk.
© 2005 Published by Elsevier Inc.
..............................
Abstract:
We study the behavior of a financial institution subject to capital requirements based on selfreported
VaR measures, as in the Basel Committee’s Internal Models Approach. We view these
capital requirements and the associated backtesting procedure as a mechanism designed to induce
financial institutions to reveal the risk of their investments and to support this risk with adequate
levels of capital. Accordingly, we consider the simultaneous choice of an optimal dynamic reporting
and investment strategy. Overall, we find that VaR-based capital requirements can be very effective
not only in curbing portfolio risk but also in inducing revelation of this risk.
© 2005 Published by Elsevier Inc.
..............................
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