期刊名称：Finante - provocarile viitorului (Finance - Challenges of the Future)
印刷版ISSN：1583-3712
出版年度：2011
卷号：1
期号：13
页码：32-43
出版社：University of Craiova, Faculty of Economics and Business Administration
摘要：This paper aims is to examine and verify the appropriateness and usefulness in practical use of models for calculating VaR. It presents a case study applied to a theoretical bank portfolio in order to the identification and protection against market risk, while determining capital requirements. An emphasis will be placed on the advantages and limitations of these models. Using several models for calculating VaR, we can find which ones are more accurate, more truthful, and if the differences between them are some considerable. Therefore, according to these differences, the bank can decide which model fits best with their risk profile and should be used in risk management.
关键词：VaR model; bank portfolio; capital requirements; market risk
