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Sensitivity of VaR measures to different risk models

Author

Listed:
  • Francesco Drudi

    (Bank of Italy)

  • Andrea Generale

    (Bank of Italy)

  • Giovanni Majnoni

    (Bank of Italy)

Abstract

The paper provides an empirical assessment of the market risk exposure of several portfolios representative of real life investment positions. We employ the notion of value at risk made popular by the recent debate on capital budgeting policies of financial intermediaries and by the new capital requirements for banks established by the Basle Committee on Banking Supervision. We provide evidence of the extent to which market risk exposures may diverge according to the different methods of risk measurement.

Suggested Citation

  • Francesco Drudi & Andrea Generale & Giovanni Majnoni, 1997. "Sensitivity of VaR measures to different risk models," Temi di discussione (Economic working papers) 317, Bank of Italy, Economic Research and International Relations Area.
    • Handle: RePEc:bdi:wptemi:td_317_97
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    File URL: https://www.bancaditalia.it/pubblicazioni/temi-discussione/1997/1997-317/en_tema_317.pdf
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    Cited by:

    1. Curzio Giannini, 1998. ""Enemy of None but a Common Friend of All"? An International Perspective on the Lender-of-Last-Resort Function," Temi di discussione (Economic working papers) 341, Bank of Italy, Economic Research and International Relations Area.
    2. Izhar, Hylmun, 2012. "Measuring Operational Risk Exposures in Islamic Banking: A Proposed Measurement Approach," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 20, pages 45-86.

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