Value at risk model for bank' asset allocation in Italy: Towards effective risk management

Facing problems concerning the Risk Management with VaR models represents an evolution trend in progress. However, the implementation of the models does not make a company more reliable, in comparison with others, as far as the risk is concerned. The prevailing idea is that there is the need for a r...

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Bibliographic Details
Published inJournal of financial management and analysis Vol. 15; no. 2; p. 10
Main Author Tardivo, Giuseppe
Format Journal Article
LanguageEnglish
Published Mumbai Om Sai Ram Centre for Financial Research 01.07.2002
Subjects
Asset allocation
Benchmarks
Divisions
Endowment
Portfolio management
Risk assessment
Risk capital
Risk management
Stockholders
Italy
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Summary:Facing problems concerning the Risk Management with VaR models represents an evolution trend in progress. However, the implementation of the models does not make a company more reliable, in comparison with others, as far as the risk is concerned. The prevailing idea is that there is the need for a responsible attitude towards the risk, such as to pervade all levels taking part in the process determining the relation between the risk and the return of the allocated capital. Therefore, not only the VaR provides an answer to the needs prompted by the supervising bodies and by competitive standards, but the VaR as an evolution process, is able to support strategic and technical operative choices at several levels and in the different sectors, dealing day by day with the market risk.
ISSN:0970-4205