Value at Risk of a Bank ’ s Balance Sheet

  title={Value at Risk of a Bank ’ s Balance Sheet},
  author={Thomas S. Y. Ho},
Through the application of a VaR analysis to the balance sheet of a hypothetical bank this paper will address several issues important to Bank managers. We will establish which balance sheet accounts lend themselves to meaningful VaR measures and the kind of information needed for input to these measures. We explain how depositor and borrower behaviors are… CONTINUE READING