GFC-Robust Risk Management Strategies under the Basel Accord
Year of publication: |
2010-10-12
|
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Authors: | McAleer, M.J. ; Jimenez-Martin, J-A. ; Perez-Amaral, T. |
Institutions: | Erasmus University Rotterdam, Econometric Institute |
Subject: | Value-at-Risk (VaR) | daily capital charges | robust forecasts | violation penalties | optimizing strategy | aggressive risk management strategy | conservative risk management strategy | Basel II Accord | global financial crisis |
Extent: | application/pdf |
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Series: | Econometric Institute Report. - ISSN 1566-7294. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:dgr:eureir Number EI 2010-59 |
Source: |
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GFC-Robust Risk Management Strategies under the Basel Accord
McAleer, Michael, (2010)
-
GFC-Robust Risk Management Strategies under the Basel Accord
Jimenez-Martin, Juan Angel Jimenez Martin, (2010)
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GFC-Robust Risk Management Strategies under the Basel Accord
McAleer, Michael, (2010)
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International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord
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