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The var at risk

Author

Listed:
  • Alfred Galichon

    (X-DEP-ECO - Département d'Économie de l'École Polytechnique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris)

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.

Suggested Citation

  • Alfred Galichon, 2009. "The var at risk," Working Papers hal-00401793, HAL.
    • Handle: RePEc:hal:wpaper:hal-00401793
    Note: View the original document on HAL open archive server: https://hal.science/hal-00401793
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    References listed on IDEAS

    as
    1. Alfred Galichon & Ivar Ekeland & Marc Henry, 2009. "Comonotonic measures of multivariates risks," Working Papers hal-00401828, HAL.
    2. Rustam Ibragimov, 2005. "Portfolio Diversification and Value at Risk Under Thick-Tailedness," Harvard Institute of Economic Research Working Papers 2086, Harvard - Institute of Economic Research.
    3. Christian Gourieroux & Wei Liu, 2006. "Efficient Portfolio Analysis Using Distortion Risk Measures," Working Papers 2006-17, Center for Research in Economics and Statistics.
    4. Burgert, Christian & Ruschendorf, Ludger, 2006. "Consistent risk measures for portfolio vectors," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 289-297, April.
    5. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    6. Elyès Jouini & Walter Schachermayer & Nizar Touzi, 2006. "Law Invariant Risk Measures Have the Fatou Property," Post-Print halshs-00176522, HAL.
    7. repec:dau:papers:123456789/342 is not listed on IDEAS
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    Cited by:

    1. Valeria Bignozzi & Matteo Burzoni & Cosimo Munari, 2020. "Risk Measures Based on Benchmark Loss Distributions," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 87(2), pages 437-475, June.
    2. Arthur Charpentier, 2018. "An introduction to multivariate and dynamic risk measures," Working Papers hal-01831481, HAL.

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    Keywords

    value-at-risk;

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