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RBA Glossary definition for VAR models

VAR models – Vector Auto Regression models

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Financial Intermediaries

10 Mar 2006 FSR – March 2006
VaR models use the distribution of historical price changes to estimate the potential for future losses, relative to a confidence level. ... A confidence level of 99 per cent, for example, indicates a 99 per cent probability that losses will not exceed
https://www.rba.gov.au/publications/fsr/2006/mar/fin-intermed.html

Financial Intermediaries

10 Mar 2005 FSR – March 2005
This is evident in the major banks' exposure to market risk through their trading operations, as measured by the average value at risk (VaR). ... Footnote. Value-at-Risk (VaR) models use the distribution of historical price changes to estimate the
https://www.rba.gov.au/publications/fsr/2005/mar/fin-intermed.html

Financial Stability Review - March 2005

12 Jul 2005 FSR PDF 1040KB
Reserve Bank of Australia
https://www.rba.gov.au/publications/fsr/2005/mar/pdf/0305.pdf

Financial Stability Review - March 2006

28 Mar 2006 FSR - March 2006 PDF 645KB
https://www.rba.gov.au/publications/fsr/2006/mar/pdf/0306.pdf

Conclusion | Hedge Funds, Financial Stability and Market Integrity – March 1999 | Financial Sector | Submissions

1 Mar 1999 Submissions
markets. This set of information might include details of large positions relative to the market, various measures of VaR, stress tests and measure of the performance of the VaR models.
https://www.rba.gov.au/publications/submissions/financial-sector/hedge-funds-financial-stability-and-market-integrity/conclusion.html

Financial Stability Review - September 2004

6 Jan 2005 FSR PDF 1099KB
CONTENTS. 1 Overview. 3 The Macroeconomic and Financial Environment. 16 Box A: Credit Card Indicators. 18 Box B: The Housing Market Slowdown in the Netherlands. 21 Financial Intermediaries. 37 Box C: Measures of Housing Loan Quality. 39 Box D: The
https://www.rba.gov.au/publications/fsr/2004/sep/pdf/0904.pdf

Policy Responses | Hedge Funds, Financial Stability and Market Integrity – March 1999-Public | Financial Sector | Submissions

1 Mar 1999 Submissions
One option is for institutions to disclose the assumptions underlying the VaR calculation. ... If institutions are to disclose information such as large positions relative to the market, their VaR, the results of stress tests and VaR model performance,
https://www.rba.gov.au/publications/submissions/financial-sector/hedge-funds-financial-stability-and-market-integrity/public-policy-responses.html

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

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

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