Search: VAR models

Sort by: Relevance Date
11–20 of 930 search results for VAR models
Did you mean varmodels?

RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

Search Results

Market Making in Bond Markets

19 Mar 2015 Bulletin – March 2015
Jon Cheshire
In November 2014, the Committee on the Global Financial System (CGFS) published a report on developments in market making and proprietary trading in fixed income and related derivative markets (CGFS 2014). The aim of the report was to facilitate a
https://www.rba.gov.au/publications/bulletin/2015/mar/7.html

News Sentiment and the Economy

18 Jun 2020 Bulletin – June 2020
Kim Nguyen and Gianni La Cava
The large and immediate effect of the COVID-19 pandemic on economic activity has increased the need for more real-time indicators of the economy.
https://www.rba.gov.au/publications/bulletin/2020/jun/news-sentiment-and-the-economy.html

Economic and Financial Research in the Reserve Bank in 1997

10 Jan 1998 Bulletin – January 1998
A paper by Colleen Cassidy and Marianne Gizycki outlines various approaches to obtaining estimates of the VaR. ... Each of the approaches is based on assumptions and these assumptions need to be tested, as do the predictions from the models used to
https://www.rba.gov.au/publications/bulletin/1998/jan/2.html

Bulletin December Quarter 2022

8 Dec 2022 Bulletin - December 2022 PDF 4585KB
https://www.rba.gov.au/publications/bulletin/2022/dec/pdf/bulletin-2022-12.pdf

Bulletin September Quarter 2021

22 Aug 2022 Bulletin - September 2021 PDF 8022KB
https://www.rba.gov.au/publications/bulletin/2021/sep/pdf/bulletin-2021-09.pdf

Payments System Board Annual Report 2012 - Regulatory Developments in Retail Payments

14 Sep 2012 PSB Annual Report 2012 PDF 358KB
https://www.rba.gov.au/publications/annual-reports/psb/2012/pdf/reg-dev-ret-pay.pdf

Regulatory Developments in Retail Payments

10 Sep 2012 PSB Annual Report – 2012
in the payments system; or establishing a new payments system regulatory body with a similar model to utilities regulation. ... Available at <http://www.rba.gov.au/payments-and-infrastructure/cards/201206-var-surcharging-stnds-fin-ref-ris/>.
https://www.rba.gov.au/publications/annual-reports/psb/2012/reg-dev-ret-pay.html

Bulletin September Quarter 2020

9 Jun 2021 Bulletin - September 2020 PDF 5941KB
https://www.rba.gov.au/publications/bulletin/2020/sep/pdf/bulletin-2020-09.pdf

Surveillance of the Financial System | Reserve Bank of Australia Annual Report - 1996

31 Dec 1996 Annual Report
In calculating capital requirements for market risk, banks will have the option of using either a “standard measurement” approach, or their own risk management models. ... The major banks now publish “value at risk” (VAR) figures, which are
https://www.rba.gov.au/publications/annual-reports/rba/1996/surveillance-fin-system.html

Bulletin June Quarter 2020

24 Jun 2020 Bulletin - June 2020 PDF 5409KB
https://www.rba.gov.au/publications/bulletin/2020/jun/pdf/bulletin-2020-06.pdf