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A decision rule to minimize daily capital charges in forecasting value-at-risk

McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - 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...