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Value At Risk Of A Bank'S Balance Sheet

Author

Listed:
  • THOMAS HO

    (BARRA, Inc., Wall Street Plaza, 88 Pine Street, New York, New York 10005, USA)

  • MARK ABBOTT

    (BARRA, Inc., Wall Street Plaza, 88 Pine Street, New York, New York 10005, USA)

  • ALLEN ABRAHAMSON

    (1055 Logan Street, #1506, Denver, Colorado 80203, USA)

Abstract

Through the application of a VaR analysis to the balance sheet of a hypothetical bank this paper will address several issues important to bank managers. We will establish which balance sheet accounts lend themselves to meaningful VaR measures and the kind of information needed for input to these measures. We explain how depositor and borrower behaviors are captured in the risk measures. We also address the accuracy of the measures, and how the bank can use the VaR information for actionable decisions.

Suggested Citation

  • Thomas Ho & Mark Abbott & Allen Abrahamson, 1999. "Value At Risk Of A Bank'S Balance Sheet," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 2(01), pages 43-58.
    • Handle: RePEc:wsi:ijtafx:v:02:y:1999:i:01:n:s0219024999000042
    DOI: 10.1142/S0219024999000042
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