Transcription of Value at Risk Analysis of a Bank's Balance Sheet
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Value at Risk Analysis of a Bank's Balance Sheet
Value at Risk of a Bank's Balance Sheet by Thomas Ho President Global Advanced Technology Corporation Wall Street Plaza 88 Pine St. New York, NY 10005. (212) 785-9630. Allen A. Abrahamson Director of Research Global Advanced Technology Corporation (212) 785-9630. and Mark C. Abbott Senior Analyst Global Advanced Technology Corporation (212) 785-9630. December 1996. 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 captured in the risk measures. We also address the accuracy of the measures, and how the bank can use the VaR. information for actionable decisions. The authors would like to thank Juha Reivonen, Postipankki Ltd.
D:\pdf\Varbnk95.doc 2 Value at Risk Analysis of a Bank's Balance Sheet. A. Background. Value-at-Risk (VaR) has been widely used for banks’ trading portfolios and for risk management
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