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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Finance and Economics Discussion Series: How Accurate Are Value-At-Risk Models at Commercial Banks

Finance and Economics Discussion Series: How Accurate Are Value-At-Risk Models at Commercial Banks

Berkowitz, Jeremy
O'Brien, James
United States Federal Reserve Board

Paperback

General Political Science

ISBN10: 1288716397
ISBN13: 9781288716395
Publisher: Bibliogov
Published: Feb 6 2013
Pages: 32
Weight: 0.17
Height: 0.07 Width: 7.44 Depth: 9.69
Language: English
In recent years, the trading accounts at large commercial banks have grown substantially and become progressively more diverse and complex. We provide descriptive statistics on the trading revenues from such activities and on the associated Value-at-Risk forecasts internally estimated by banks. For a sample of large bank holding companies, we evaluate the performance of banks' trading risk models by examining the statistical accuracy of the VaR forecasts. Although a substantial literature has examined the statistical and economic meaning of Value-at-Risk models, this article is the first to provide a detailed analysis of the performance of models actually in use.

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