The Berkowitz and O'Brien study indicates that bank are conservative, that is, generate VAR forecasts that are

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The Berkowitz and O'Brien study indicates that bank are conservative, that is, generate VAR forecasts that are too large in relation to actual risks. What could explain this observation?

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Value at Risk The New Benchmark for Managing Financial Risk

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Question Posted: May 03, 2016 02:14 AM

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The Berkowitz and O'Brien study indicates that bank are conservative, that is, generate VAR forecasts that are

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Value at Risk The New Benchmark for Managing Financial Risk

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