リスク計測モデルの発展についての一考察
2015 年 2015 巻 FIN-014 号 p. 03-
詳細
2015 年 2015 巻 FIN-014 号 p. 03-
The Japan regulators have decided to redraft their risk management guidelines for Investment Trusts in Japan. There are some methods of market risk measurement for Investment Trusts that is addressed under Basel Banking rules as well as is adopting some of the core principles of UCITS (Undertaking for Collective Investments in Transferable Securities). The purpose of this research is to discuss mainly to understand the meaning of recent rule changes and to review the development of VaR (Value at Risk) as a risk measurement tool in financial industry.
