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It pays to violate : how effective are the Basel accord penalties in encouraging risk management?
Da Veiga, Bernardo; Chan, Felix; McAleer, Michael - In: Accounting and finance : journal of the Accounting … 52 (2012) 1, pp. 95-116
Persistent link: https://www.econbiz.de/10009512724
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Risk management of risk under the Basel Accord: forecasting value-at-risk of VIX futures
Chang, Chia-lin; Jiménez-Martín, Juan-Ángel; … - In: Managerial Finance 37 (2011) October, pp. 1088-1106
Purpose – 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...
Persistent link: https://www.econbiz.de/10010675799
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Risk management of risk under the Basel Accord: forecasting value‐at‐risk of VIX futures
Chang, Chia‐lin; Jiménez‐Martín, Juan‐Ángel; … - In: Managerial Finance 37 (2011) 11, pp. 1088-1106
Purpose – 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...
Persistent link: https://www.econbiz.de/10014940207