Chang, Chia-Lin; McAleer, Michael; Jimenez-Martin, … - Faculteit der Economische Wetenschappen, Erasmus … - 2011
The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...