Orateur
Dr
HASSAN OMIDI FIROUZI
(LABEXREFI)
Description
Banks and financial institutions can use either the internal models-based approach or the standardized approach to assess and report the risk of the trading book for future periods. In this paper, we examine relevant estimation methods for computing Value at Risk (VaR) and Expected Shortfall (ES) for banks at both desk level and bank-wide level. We provide a benchmark method for estimation and
study financial and statistical properties of the method. We provide numerical results for different hypothetical portfolios.
Auteur principal
Dr
HASSAN OMIDI FIROUZI
(LABEXREFI)
Co-auteur
Prof.
Jean-Paul Laurent
(Université Paris 1 Panthéon-Sorbonne)
