The relationship between value-at-risk forecasts and the subsequent volatility of trading revenues of a few selected Philippine private universal and commercial banks for the period 2006-2008

• Main Authors: Capistrano, Clarice Abigaile K., Neria, Clarice Danica Q., Rondilla, Edah C.
• Format: text
• Language: English
• Published: Animo Repository 2009
• Subjects: Banks and banking > Philippines; Risk management > Mathematical models; Risk > Measurement > Mathematical models; Risk assessment > Mathematical models; Financial futures > Mathematical models; Economic forecasting > Econometric models; Bank investments; Philippines > Economic conditions
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/17476
• Institution: De La Salle University

In the late 1990s, the Basel Committee on Banking Supervision (BCBS) promoted a more extensive market risk disclosure for banks. Since then, Value-at-Risk (VaR) has become a standard measure in the estimation of financial risk particularly, market risk. In line with that, Bangko Sentral ng Pilipinas...