Abstract
Regulations and risk management are vital to the success and survival of the Greek Financial Markets, which experienced rather rapid growth recently. The Basle Committee’s recommendations and the European Commission’s Capital Adequacy Directive are applied to models developed internally by institutions for statistical measurement of potential market losses. The Greek banking system is in the process of applying Value-at-Risk (VaR) models to estimate exposure to market risks. In this paper, we show the superiority of the VaR modeling with stable distributions over the traditional VaR modeling with normal distribution in evaluating the sensitivity to market risks in Greek financial markets.
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