Title :
Is Value-at-Risk )VaR( a Fair Proxy for Market Risk Under Conditions of Market Leverage?
Author :
Thomas J. Lutton استاد مشاور , Roger N. Waud استاد راهنما , William W. Lang استاد مشاور
University :
Virginia Polytechnic Institute and state University
Major :
Master of Arts )Economics )Arts and Sciences(
Keyword :
Capital Allocation Requirements , Leverage , Value-at-Risk , VAR , Internal Models Approac , Market Risk
