Value at risk and precommitment: approaches to market risk regulation

Daripa, Arupratan; Varotto, Simone

Journal Article

Value at risk and precommitment: approaches to market risk regulation

Abstract: This paper was presented at the conference \\"Financial services at the crossroads: capital regulation in the twenty-first century\\" as part of session 4, \\"Incentive-compatible regulations: views on the precommitment approach.\\" The conference, held at the Federal Reserve Bank of New York on February 26-27, 1998, was designed to encourage a consensus between the public and private sectors on an agenda for capital regulation in the new century.

Keywords: Bank capital; Risk;

Status: Published in Financial services at the crossroads: capital regulation in the twenty-first century