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
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...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Animo Repository
2009
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| Subjects: | |
| Online Access: | https://animorepository.dlsu.edu.ph/etd_bachelors/17476 |
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| Institution: | De La Salle University |
| Language: | English |