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Keywords: Value‐at‐risk (VaR)
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Journal Articles
Managerial Finance (2011) 37 (11): 1088–1106.
Published: 27 September 2011
... at the beginning of each trading day, using one or more risk models to measure value‐at‐risk (VaR). The risk estimates of these models are used to determine capital requirements and associated capital costs of ADIs, depending in part on the number of previous violations, whereby realized losses exceed...

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