The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices
Abstract
This article analyzes optimal, dynamic portfolio and wealth/consumption policies of utility maximizing investors who must also manage market-risk exposure using Value-at-Risk (VaR). We find that VaR risk managers often optimally choose a larger exposure to risky assets than non-risk managers and consequently incur larger losses when losses occur. We suggest an alternative risk-management model, based on the expectation of a loss, to remedy the shortcomings of VaR. A general-equilibrium analysis reveals that the presence of VaR risk managers amplifies the stock-market volatility at times of down markets and attenuates the volatility at times of up markets.
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Cited by
Evaluating Value-at-Risk Models with Desk-Level Data
Berkowitz, J., Christoffersen, P., & Pelletier, D. (2011) · Management Science · doi:10.1287/mnsc.1080.0964 · Cited by 362
Brandt, M. W. (2010) · Handbook of Financial Econometrics: Tools and Techniques · doi:10.1016/b978-0-444-50897-3.50008-0 · Cited by 304
Metadata
- Authors
- Basak, S., & Shapiro, A.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2001-04
- Volume
- 14
- Issue
- 2
- Pages
- 371-405
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W3123552065
- Cited by
- 832
- References
- 1
- FWCI
- 39.87
- Type
- journal article
- Language
- en
- Open access
- closed
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- Basak, S., & Shapiro, A. (2001). Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices. Review of Financial Studies. https://doi.org/10.1093/rfs/14.2.371
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
