Open AccessAn Evaluation of Bank VaR Measures for Market Risk During and Before the Financial Crisis
Author(s) -
James M. O’Brien,
Paweł J. Szerszeń
Publication year - 2014
Publication title -
finance and economics discussion series
Language(s) - English
Resource type - Journals
eISSN - 2767-3898
pISSN - 1936-2854
DOI - 10.17016/feds.2014.21
Subject(s) - financial crisis , value at risk , volatility (finance) , benchmark (surveying) , autoregressive conditional heteroskedasticity , volatility clustering , market risk , vector autoregression , economics , econometrics , finance , risk management , macroeconomics , geodesy , geography