Risk management of risk under the Basel Accord : a Bayesian approach to forecasting value-at-risk of VIX futures
Year of publication: |
2011 ; Rev.
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Authors: | Casarin, Roberto ; Chang, Chia-Lin ; Jiménez-Martín, Juan-Ángel ; McAleer, Michael ; Pérez Amaral, Teodosio |
Publisher: |
Christchurch : Dep. of Economics and Finance, College of Business and Economics, Univ. of Canterbury |
Subject: | Bank | Basler Akkord | Basel Accord | Derivat | Derivative | Risikomaß | Risk measure |
Extent: | Online-Ressource (46 S., 1,40 Mb) graph. Darst. |
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Series: | Working paper. - Christchurch, New Zealand, ZDB-ID 2579761-X. - Vol. 2011,26 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: Acrobat Reader |
Source: | ECONIS - Online Catalogue of the ZBW |
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Casarin, Roberto, (2011)
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Risk management of risk under the Basel accord: forecasting value-at-risk of VIX futures
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