An Analysis of VaR-based Capital Requirements

By Domenico Cuoco, Hong Liu. 2006

118 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/c5895ce32c53c64ea6951298281f40c7a38da2fd

Citations in the corpus

• The Level and Quality of Value-at-Risk Disclosure by Commercial Banks (2010, unknown): “Conversely, in their theoretical analysis of VaR-based capital requirements, Cuoco and Liu (2006) conclude that VaR-based capital requirements can be very effective in inducing truthful revelation of market risk.”