Do banks overstate their Value-at-Risk?

By Christophe Pérignon, Zihao Deng, Zhi Wang. 2008

137 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/10e09e8835cbd7101020cdb9eecfa4a3a1826c05

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1. M. Nieto
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Citations in the corpus

• Frontiers in VaR forecasting and backtesting (2016, methodology): “…of returns; see, for The Basel accords describe an standard approach to obtain VaR forecasts which is known to render VaR estimates larger than necessary, leading to excessively high capital requirements (CR); see, for example, Pérignon et al. (2008), McAleer (2009) and Pérignon and Smith (2010b).”
• The benefits of specific risk-factor disclosures (2016, unknown): “Prior work studies quantitative risk information such as VaR disclosure within the banking industry (Jorion 2002; Perignon et al. 2008) as well as quantitative market-risk disclosures (Rajgopal 1999; Thornton and Welker 2004; Linsmeier et al. 2002).”
• Evaluating Value-at-Risk Models with Desk-Level Data (2011, unknown): “Empirical evidence on the forwardlooking nature of VaR estimates is provided in Taylor (2005), who shows how VaR estimates can be used to forecast future volatility.”