In 1996, Basel implementation suggests financial institution to use Value at risk (VaR) to determine regulatory capital requirements or internal capital allocations. The correction of VaR calculated has become the key point to decide whether the bank will get bankrupt or not. However, VaR is hard to avoid the errors of estimation, so we want to know what factors cause VaR to be biased, what level they affect VaR, and what limitations VaR has.
Subjects
風險值、樣本數、自由度、顯著水準、厚尾
VaR, sample, degree of freedom, significant level, fat tail
