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dc.contributor.authorGalichon, Alfred
dc.date.accessioned2009-10-19T09:13:07Z
dc.date.available2009-10-19T09:13:07Z
dc.date.issued2010
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/2279
dc.language.isoenen
dc.subjectValue-at-Risken
dc.subject.ddc332en
dc.subject.classificationjelD84en
dc.subject.classificationjelG24en
dc.subject.classificationjelL22en
dc.titleThe VaR at Risken
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenI show that the structure of the firm is not neutral in respect to regulatory capital budgeted under rules which are based on the Value-at-Risk. Indeed, when a holding company has the liberty to divide its risk into as many subsidiaries as needed, and when the subsidiaries are subject to capital requirements according to the Value-at-Risk budgeting rule, then there is an optimal way to divide risk which is such that the total amount of capital to be budgeted by the shareholder is zero. This result may lead to regulatory arbitrage by some firms.en
dc.relation.isversionofjnlnameInternational Journal of Theoretical and Applied Finance
dc.relation.isversionofjnlvol13
dc.relation.isversionofjnlissue4
dc.relation.isversionofjnldate2010
dc.relation.isversionofjnlpages503-506
dc.relation.isversionofdoihttp://dx.doi.org/10.1142/S0219024910005875
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherWorld Scientific
dc.subject.ddclabelEconomie financièreen


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