Risk research: The Value of Value at Risk: Statistical, Financial, and Regulatory Considerations

The Value of Value at Risk: Statistical, Financial, and Regulatory Considerations

Daníelsson, J., B. N. Jorgensen, and C. G. de Vries (1998). The value of value at risk: Statistical, financial, and regulatory considerations. Economic Policy Review 4(3).

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@ARTICLE{DanielssonJorgensenVries1998ww,
  author =  {J{\'o}n Dan{\'i}elsson  and B. N. Jorgensen and C. G. de
                  Vries},
  title =   {The Value of Value at Risk: Statistical, Financial, and
                  Regulatory Considerations},
  journal = "Economic Policy Review",
  volume =  {4},
  number =  {3},
  year =    1998,
  url =     {ssrn.com/abstract=1029663},
 }

On the use of artificial intelligence in financial regulations and the impact on financial stability

The cost of conservatism: Extreme returns, Value-at-Risk, and the Basle multiplication factor