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Risk measures and their applications in asset management
Bi̇rbi̇l, Ş. İlker; Frenk, Johannes G.; Kaynar, Bahar; … - 2008
Persistent link: https://www.econbiz.de/10003754329
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The Ten Commandments for optimizing Value-at-Risk and daily capital charges
McAleer, Michael (contributor) - 2008
Persistent link: https://www.econbiz.de/10003780795
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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...
Persistent link: https://www.econbiz.de/10003893363
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VaR forecasts and dynamic conditional correlations for spot and futures returns on stocks and bonds
Hakim, Abdul; McAleer, Michael - 2009
Persistent link: https://www.econbiz.de/10003908707
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It pays to violate : how effective are the Basel accord penalties?
Da Veiga, Bernardo; Chan, Felix; McAleer, Michael - 2009
Persistent link: https://www.econbiz.de/10003910300
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GFC-robust risk management strategies under the basel accord
McAleer, Michael; Jiménez-Martín, Juan-Ángel; Pérez … - 2010
Persistent link: https://www.econbiz.de/10008664042
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Model selection and testing of conditional and stochastic volatility models
Caporin, Massimiliano; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10008664052
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Risk management of precious metals
Hammoudeh, Shawkat; Malik, Farooq; McAleer, Michael - 2010
Persistent link: https://www.econbiz.de/10003989642
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Modelling conditional correlations for risk diversification in crude oil markets
Chang, Chia-Lin; McAleer, Michael; Tansuchat, Roengchai - 2009
Persistent link: https://www.econbiz.de/10003877105