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Do banks overstate their Value-at-Risk?

Christophe P{\'e}rignon and Zi Yin Deng and Zhi Jun Wang Journal of Banking \& Finance 32 783--794 (2008)
to (VaR) Value-at-Risk by smicha on 2008-04-22 13:53:19
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tags
- "off-task"
- &
- (artificial
- (central)
- (Computer);
- (CT)
- (FDI)
- (Genetics);
- (N,d)-Wiener
- (VaR)
- ***
- ****
- 05E30
- 12-lead
- 15229048
- 1979
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- 2-D
- 2000
- 2001
- 2002
- 2003
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- 2005
- 2006
- 2007
- 454Sequencing
- 5ht
- 60F05
- 62E20
- 62K05
- 8.0,
- [square,
- \&
- A
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- ac
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- ACTIVATION
- active
- activity
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- algebra
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- alignment
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- Almost
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- AMMONIA-SYNTHESIS;
- amperometry
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- analysis
- Analysis,
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- and
- Animal;
- Animals,
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- Anlagenplanung
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- antibody
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- apob
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- approach,
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- ARCH
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- assistants,
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- at
- atomicity
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- au
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- ausleihen
- Australien
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- BARRIERS;
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- beamforming
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- Binomial
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- bio
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- Biphasic
- Birnbaum-Saunders
- bittorrent
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- Block
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- book
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- capabilities
- capability;
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- carbon_nanotubes
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- Case-control
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- category-partition
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- centrality
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- certificate
- cf
- CGE
- chain
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- changes
- channel
- Channelrhopsin
- channels
- Chaos
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- Characteristic
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- ChIP-Seq
- Chromosome,
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- circuit
- circuits
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- citation_impact
- cites.gradu
- cites.pclass
- cites.procm
- citesdaks
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- Classification
- classification
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- Clearance
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- Clickstream
- Climate
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- closed
- clozapine,
- Cluster
- cluster
- clustered-graph
- clustering
- CO
- Cochran's
- code
- coder
- codes
- coding
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- Cognition;
- cognitive_models
- Cohen-Grossberg
- coherent
- collaboration
- collaborative
- collaborative-filtering
- collaborative_authoring
- collaborative_filtering
- Collective
- Combined
- commodity
- Communication_management
- communities
- Community
- community
- community,
- community_sna_virtual_community
- CommunityMirror
- Comparative
- competition
- Compilation
- Complex
- complex
- Complex,
- complexityStructural
- component
- composite
- compounds
- compression
- computation
- computation,
- Computational
- Computed
- Computer-Bio
- Computersicherheit
- Computing
- computing,
- concave
- concentration
- concepts
- Conceptual
- concrete
- condition
- Conditional
- conference
- Confidence
- confidence
- Congestion
- connected
- Consistent
- Constrained
- consumer
- Consumer_behaviour
- Contagion
- content-based
- content_location
- context
- Context-Modelling
- Contig
- Contingency
- contracts
- contribution
- control
- controller
- Convergence
- convergence
- conversational
- converter
- convolutive
- cook
- cooperation
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- copyright
- Corpus
- corpus
- correction
- Correlation
- correlation
- Correlation-based
- cortedspontaneous
- cortex
- Cortex;
- cortexinferotemporal
- cosine
- cosmic
- Counting
- coupled
- coupling
- crack
- crawling
- creation
- Credit
- crisis
- crisis_management
- criteria,
- criterion
- Critical
- Cross-listing
- Crossover
- CSCL,
- CSS739
- cultural
- cultural_governance
- culture
- Curie--Weiss--Potts
- curve
- customization
- Cycle
- cycles
- CyclicArraySequencing
- cyclostationary
- D-optimal
- D/A
- D2
- D2,
- d4.1
- da
- Damage
- daniel
- dark
- Data
- data
- data_management
- Data_Mining
- data_quality
- Data_Security
- Database
- database
- databases
- dataMining
- datamining
- DATE
- Datenauswertung
- datum
- dblp
- dbowl
- death
- decentralized
- Decision
- decision
- decisionsEnvironment
- decomposition
- Deconvolution
- Deep
- Default
- default
- Defaultable
- Deficit
- Defined
- delicious
- Demand
- Dementia
- denoising
- dense
- density
- dependencies
- dependent
- dephasing
- Deposit
- depth,
- der
- description
- descriptionlogic
- Design
- design
- design,
- Design;
- designs
- Detecting
- detecting
- detection
- determination
- Deutschland
- developmentProcess
- developmentSURVEYSCHINAManagement
- deviations
- devices,
- devo
- devo,
- DFT
- diagnosis,
- diagram
- diagrams
- dialog
- difference
- differential
- differential_introgression
- Diffusion
- diffusion
- Diffusion,
- Digital
- Dilemma
- dipl_literatur
- diploma_thesis
- direct
- Direction-of-arrival
- Direktinvestition
- Dirichlet
- Disaster_Recovery
- discounted
- discourse
- discovery,
- Discrete
- Discrete-event
- Discretization
- discussions,
- Disorder
- Disparity
- Dispersion
- dissipation
- distance
- Distributed
- distributed
- distribution
- distributions
- diversification
- dl-lite
- DNA
- doctoral_consortium
- Document
- document
- documents
- Dopamine
- Dopamine,
- Dose-response
- DQ
- Drosophila
- Drug
- drugs,
- DTI
- dual-track
- Dummy
- Durable-goods
- DVM
- Dynamic
- dynamic
- Dynamical
- dynamical
- Dynamics
- dynamics
- Dynamics;
- e-commerce
- ECA
- ECG
- ecommerce
- Economic
- economy
- Econophysics
- ecotoxicity,
- EDB
- editdistance
- Effect
- effect
- effective
- effects
- efficiency
- Efficient
- EHW
- EHW,
- Eigenvalue
- einstein
- EIT
- eLearning
- Electrical
- electrochemistry
- electroluminescence
- electronic-textbook,
- email
- emergence
- Emission-Computed,
- Empirical
- empirical
- EmulsionPCR
- encryption
- end-to-end
- endangered
- Energy
- energy
- engine,
- engineering
- engines
- enhancement
- enron
- Ensemble
- Entanglement
- entertain
- entropy
- Entscheidungsfindung
- envelope
- environment,
- enzyme,
- epayment
- Epidemic
- epidemic_protocols
- epidemics
- Epidemiology
- epitope
- epr
- EPTree,
- equation
- equation,
- equations
- Equilibrium
- equilibrium
- Erkennung
- estimate
- estimation
- estimator
- eswc
- eswc2006
- ETHYLENE
- Euclidean
- Euro
- european
- Evacuation
- evaluation
- Evaluation,
- even
- Event
- event
- eventually_useful
- evolution
- Evolution,
- Evolutionary
- evolutionary
- Evolvability,
- Evolvable
- evolvable
- exchange
- excitation
- expansion
- Expected
- experiment
- experiment,
- experiments
- Expression
- expression
- Expression;
- extraction
- Fabrikplanung
- face-tracking
- Factor
- factorial
- Factors,
- failure
- family
- Fast
- fault
- faultTolerant
- FCA
- fca
- fe-high-tc
- fe-high-tc,
- Feature
- feedback
- Female,
- ferrocene
- Ferroelectrics
- ferrofluids
- Fibers,
- field
- figures
- filesharing
- Filesharing-System
- filled]
- film
- filmindustry
- filter
- Filtering
- filtering
- filters
- filters,
- financial
- Finanzmathematik
- Finite
- finite_element
- fire
- firemafs
- fires
- firing
- firms
- FIRST-PRINCIPLES;
- Fitness
- Fixed
- Flat
- flourine
- flow
- fluctuation
- fluid
- Fluorine
- folksonomy
- Follow-up
- for
- force
- force,
- forced_vibration
- forces
- forces;
- Forecasting
- Foreign
- foreign_correspondence
- foreign_media
- Forest
- forgetting
- formal
- formal-languages-2
- formal_language
- Forschungsleistung
- Forward
- fouling
- four-bar
- Fourier
- FPS
- Fractals
- fractals
- Fractional
- Frequency
- frequency
- frequentSetMining
- friction
- frontier
- function
- Functional
- functions,
- fusion,
- Futures
- futures
- fuzzy
- fuzzy,
- G(m)n-transform
- gabapain
- Game
- game
- games
- Gamma
- Ganglia;
- GARCH
- gas
- ge
- Gebühr
- Gel
- Gene
- gene
- general
- Generalized
- generation
- generative
- Generator
- Genes,
- Genetic
- genetic
- Genome,
- genome_wide_association_studies
- Genotype;
- GENRE,
- geographic
- geographic_information_retrieval
- geographic_locations
- geographics
- Geometrical
- geometry
- Gewässerschutz
- globalization
- Glycoproteins,
- GNP
- goal
- goal_identification
- goals
- Gold
- gong
- google-scholar,
- Google_scholar
- gore,
- Gough-Steward
- Gov't,
- gox
- GPU
- gradient
- grahsl_tieber
- Grammatical
- Granular
- granular
- graph
- graph_theory
- graphics
- graphs,
- gray-box
- Group
- group
- grouping
- groups
- Growing
- H.264
- H.S.,
- Hafen
- half-sample
- Handel
- HardDisk
- hardware,
- hazard
- Hazardous
- heat
- heritage
- Heterogeneity
- Heterogeneous
- heterogeneous
- high
- high-tc
- high-tc,
- Hilbert
- Hilbert-Huang
- hip
- HIV,
- HLA
- HR
- HR_strategy
- HRM
- htsce
- htsct,
- Human
- human-computer_interaction
- Humans
- Humans,
- Humans;
- hybrid
- Hydrogenation
- HYDROGENATION;
- Hyperactivity,
- Hyperchaos
- Hyperinflation
- Hypothesis
- iccs
- icml
- icsa
- identical
- Identification
- identification
- identities
- identity
- idiom
- IG
- Image
- image
- image_databases
- image_retrieval
- images
- Imaging,
- imbedding
- immune
- immunoassay
- immunoelectrode
- immunosensor
- implicit
- Import
- imported
- imported-10-07-2007
- Impulsive
- in
- inaki
- incentives
- income
- index
- inequality
- inf_retrieval
- inference
- Inflation
- Influence
- influence
- information
- information-retrieval
- information_extraction
- information_management
- Information_Retrieval
- information_retrieval
- informationRetrieval
- Informationsmanagement
- Informationssystem
- Informationstechnik
- Infrastructure
- Ingenieur
- inhomogeneity
- Initial
- Innovation
- Innovationsfähigkeit
- innovationsTECHNOLOGYRESEARCH
- Instability
- institutional
- Institutions
- insurance
- Integral
- integrating
- integration
- intelligence),
- intelligent
- intensity
- intention
- Interaction
- interaction
- interaction,
- interactive
- Interest
- interest
- Interferencing
- Internal
- International
- International_business
- interoperability
- Interpolation
- Interval
- interval
- intervals
- Interview
- INTRINSIC
- Introns;
- invasion
- Inverse
- investment
- Ionic
- ir
- iridium_compounds
- Irreversible
- ISI
- Ising
- iswc
- iswc,
- iswc2006
- item-based
- iterated
- iterative
- IUI09
- jabref:noKeywordAssigned
- Java
- Job
- joint
- JRR,
- juergen
- jump
- k22
- ke
- kepler
- Kernel
- kernel
- Kinetic
- kink
- kiwi
- kiwi,
- KM
- KMS
- knowledge
- knowledge-acquisition
- knowledge-extraction
- Knowledge_Management
- Knowledge_Management_Systems
- Knowledge_Modelling
- knowledge_structures
- knowledge_transfer
- Korea;
- Korean
- Kreditmarkt
- L-estimator
- L-system,
- Language
- language
- LanguageModel
- languages
- Large
- large
- Laterality;
- Latin
- law
- lda
- lda,
- leabra
- learning
- learning,
- Least
- least
- Least-squares
- least-squares
- Leistungsfähigkeit
- level
- Level-[alpha]
- LGPL
- licensing
- Lignins
- likelihood
- limit
- Lindenmayer-System
- Linear
- linear
- Linearly
- linguistics
- link-mining
- linkage;
- linkages
- Liouville
- liposome
- liquid
- Liquidity
- liquids
- livecoding
- Load,
- loans
- Local
- local
- Local-world
- Location
- location_based
- locations
- log
- logarithm
- logfileanalysis
- logic
- Logistic
- Logistik
- Longitudinal
- Lorenz
- Lorenz-family
- loreto
- LSI
- ltp
- lubricant
- Lubrication
- Luciferases;
- Länderrisiko
- machine,
- machine-learning
- Magnetic
- magnetic
- magnetization
- Magnetohydrodynamic
- majorant
- making
- Making;
- malach
- Male,
- Management
- management
- mandelbrot
- manipulator
- mapping
- Mapping,
- Maps
- Market
- market
- markets
- Markov
- markov
- mas
- master
- master_thesis
- match
- matching
- materials
- mathematics
- Mathematics,
- matrices
- Matrix
- Maximal
- Maximum
- maximum
- MBA
- Me:ToRead
- Mean
- Mean-variance
- measure
- mechanical
- mechanics
- mechanism
- mechatronic
- mechatronics
- mechatronics,
- medgov
- media
- medium
- Membrane
- Memory
- Memory,
- memory-based
- memorynetwork
- MEMS
- Messenger;
- Messenger;_Semantics;_Software;_Statistics;_Systems_Biology;_Systems_Integration;_Technology
- Metabolic
- metadata
- METAL-SURFACES
- metals
- method
- methods
- methods,
- Methylphenidate,
- Mice,
- Microarray
- microarray
- microGP
- micromechanical
- Middle
- Migration
- migration
- minett
- mining
- mining,
- Minority
- minority
- Mixed
- mixed
- Mixture
- mixture
- mixtures,
- mobile
- mobility
- modal_frequency
- mode
- mode_shape
- model
- Modeling
- modeling
- modelling
- modelling,
- modelprefrontal
- models
- Models,
- Modulators,
- moisture
- molecular
- Moment
- Monetary
- Money
- money
- monopoly
- Monotonicity
- Montageplanung
- Montagesystem
- Monte
- MONTE-CARLO-SIMULATION;
- Moral
- Morphological
- motion
- motivation
- Motivation,
- mouse
- MPEG
- mrefs
- msnsearch
- mteam
- multi-concept
- Multi-grid
- multi-resolution
- Multiagent
- Multicollinearity
- Multicriteria
- Multidimensional
- Multifractal
- multinational_companies
- Multinomial
- Multiobjective
- Multiple
- multiplicative
- multiresonance
- multitask;
- multitone
- Multivariate
- MUSTREAD
- mustread
- Myelinated,
- myown
- naming
- Nanogenerator
- Nanoparticles
- Nanotechnik
- Nanotechnologie
- nanotubes;
- NASDAQ
- Nash
- National_cultures
- nationalism
- natural
- natural_language_processing
- navigation
- Negative
- Negativity
- neighborhood
- Nerve
- Nervous
- Net
- network
- Networks
- networks
- Networks,
- networks,
- networks;
- Neumann
- Neural
- neural
- neural-network-simulator
- neuroleptic
- Neurons;
- neutron
- neutrons
- New
- news
- nfr
- NGO
- Nichtregierungsorganisation
- Nichtstaatliche_Organisation
- Nicotinic,
- Niedersachsen
- NLP
- nlp
- nn
- nnets
- no-tag
- Non-P.
- Non-U.
- Nonequilibrium
- Nonlinear
- nonlinear
- Nonnegative
- normality
- North
- notation
- Nucleotide;
- numerical
- object
- Object-oriented
- odd
- of
- OFDM
- offerings
- ol
- olap
- olympics
- one
- online
- ontologies
- ontology
- ontology-alignment
- ontology-mapping
- ontology_(computer_science)
- ontology_alignment
- Ontology_Matching_DL_CP_PP
- OntologyHandbook
- Operator
- Optical
- Optimal
- Optimistic
- Optimization
- Option
- option
- options
- ordering
- ordinary
- organic_compounds
- organic_light_emitting_diodes
- orientation
- OS
- Overdispersion
- Overlapping
- OWL
- owl
- owl1.1
- OXIDATION;
- Oxide
- P.
- P2P
- p2p
- paper
- papers
- Papio,
- paradox
- parallel
- parameters
- Partial
- partitioning,
- partof
- Pathways;
- pattern
- pattern_mining
- patternMining
- patterns
- PCR,
- peer-to-peer
- penalty
- pendulum
- Penna
- peptide
- Percolation
- Performance
- performance
- performance;
- personalization
- personalization,
- Perturbation
- perturbation
- Peso
- pfc
- Phase
- phase
- PhD
- phone
- phosphors
- physics
- piecewise
- Placebos,
- planar
- planningTECHNOLOGICAL
- Plasma
- platform;
- PM
- pmi
- Polygonal
- Polymorphism,
- Polynomial
- polynomial
- population
- Porous
- porous
- Portfolio
- Portfoliomanagement
- Positron-Emission