A survey of value-at-risk and its role in the banking industry

Ball, Jason and Fang, Victor 2006, A survey of value-at-risk and its role in the banking industry, Journal of financial education, vol. 32, Winter, pp. 1-31.

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Title A survey of value-at-risk and its role in the banking industry
Author(s) Ball, Jason
Fang, VictorORCID iD for Fang, Victor orcid.org/0000-0001-8914-3363
Journal name Journal of financial education
Volume number 32
Season Winter
Start page 1
End page 31
Publisher Finance Education Association
Place of publication Philadelphia, Pa.
Publication date 2006
ISSN 0093-3961
Summary This paper discusses the various aspects of Value-at-Risk (VaR) and the VaR-based risk management process as it pertains to the banking industry. Since its inception in the 1990’s, VaR has become the industry standard by which market risk is both measured and managed by financial institutions today. However, there has been much debate regarding VaR’s validity and the extent of its role within the banking industry. Yet, now that it is an integral part of the regulatory framework, establishing VaR’s legitimacy is more important than ever. Therefore, this paper examines the recent literature on VaR’s use as a market risk management tool within the banking environment in an attempt to clarify some of the more contentious issues which have been raised by researchers. The discussion begins by highlighting the underlying theory on which VaR is based, specific aspects which have proven controversial and its use from a regulatory perspective. The focus then turns to what little literature exists on the subject of VaR and asset returns in an attempt to provide some direction for future research.
Language eng
Field of Research 159999 - Commerce, Management, Tourism and Services not elsewhere classified
Socio Economic Objective 970115 - Expanding Knowledge in Commerce, Management, Tourism and Services
HERDC Research category C1.1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Persistent URL http://hdl.handle.net/10536/DRO/DU:30042544

Document type: Journal Article
Collections: Faculty of Business and Law
School of Accounting, Economics and Finance
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