Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures
Year of publication: |
2011
|
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Authors: | Chang, Chia-Lin ; Jimenez-Martin, Juan Angel Jimenez Martin ; McAleer, Michael ; Pérez-Amaral, Teodosio |
Institutions: | Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid |
Subject: | Median strategy | Value-at-Risk (VaR) | daily capital charges | violation penalties | optimizing strategy | aggressive risk management | conservative risk management | Basel II Accord | VIX futures | global financial crisis (GFC) |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 2011-02 31 pages |
Classification: | G32 - Financing Policy; Capital and Ownership Structure ; G11 - Portfolio Choice ; G17 - Financial Forecasting ; C53 - Forecasting and Other Model Applications ; C22 - Time-Series Models |
Source: |
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Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures
Chang, Chia-Lin, (2011)
-
Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures
Chang, Chia-Lin, (2011)
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International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord
McAleer, Michael, (2011)
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The Rise and Fall of S&P500 Variance Futures
Chang, Chia-Lin, (2011)
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What Happened to Risk Management During the 2008-09 Financial Crisis?
Jimenez-Martin, Juan Angel Jimenez Martin, (2009)
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Optimal Risk Management Before, During and After the 2008-09 Financial Crisis
Jimenez-Martin, Juan Angel Jimenez Martin, (2009)
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