The VAR at Risk
arXiv:2102.02577 · doi:10.1142/S0219024910005875
Abstract
I show that the structure of the firm is not neutral in respect to regulatory capital budgeted under rules which are based on the Value-at-Risk.
4 Pages
arXiv:2102.02577 · doi:10.1142/S0219024910005875
I show that the structure of the firm is not neutral in respect to regulatory capital budgeted under rules which are based on the Value-at-Risk.
4 Pages