McAleer, M.J.; Jimenez-Martin, J-A.; Perez-Amaral, T. - Erasmus University Rotterdam, Econometric Institute - 2008
Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading day, using a variety of Value-at-Risk (VaR) models to measure risk. Sometimes the risk estimates...
