Search: VAR models
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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
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
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
Developments and Innovation in the Payments System | Submission to the Financial System Inquiry – March 2014 | Financial Sector |…
1 Mar 2014
Submissions
Submission to the Financial System Inquiry 8. Developments and Innovation in the Payments System. Download 3.1. MB. A safe, competitive and efficient payments system is essential to support the day-to-day business of the Australian economy.
https://www.rba.gov.au/publications/submissions/financial-sector/financial-system-inquiry-2014-03/developments-and-innovation.html
Box A: Effects of Low Yields on Life Insurers and Pension Funds
20 Oct 2015
FSR
– October 2015
Funding ratios below 100 per cent typically indicate underfunding and, if persistent, can signal that business models need to change to ensure that liabilities can be met when they fall due. ... Life insurance firms and defined benefit pension funds have
https://www.rba.gov.au/publications/fsr/2015/oct/box-a.html
Inquiry into Mobile Payment and Digital Wallet Financial Services – July 2021 | Payments System | Submissions
8 May 2024
Submissions
This submission provides an overview of the digital wallet market in Australia, discusses the technologies involved in digital wallets and describes some of the features of the business models adopted by ... These differences may have implications for
https://www.rba.gov.au/publications/submissions/payments-system/inquiry-into-mobile-payment-and-digital-wallet-financial-services/index.html
At a Glance: Financial Stability Review – April 2023
6 Apr 2023
FSR
At a Glance. Some banks overseas have failed because of weaknesses in their business models and poor risk-management practices.
https://www.rba.gov.au/publications/fsr/2023/apr/
Commonwealth of Australia: In the Australian Competition Tribunal – April 2004 | Payments System | Submissions
8 May 2024
Submissions
As discussed above, theoretical models are not sufficiently advanced to calculate the ‘optimal’ interchange fee in a world with multiple payment instruments.
https://www.rba.gov.au/publications/submissions/payments-system/au-competition-tribunal/index.html
List of tables
10 Sep 2004
FSR
– September 2004
a) Value at risk (VaR) calculated using a 99 per cent confidence interval and one-day holding period. ... VaR in their recent financial statements.
https://www.rba.gov.au/publications/fsr/2004/sep/tables.html