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GFC-robust risk management strategies under the Basel Accord

McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - In: International review of economics & finance : IREF 27 (2013), pp. 97-111

Persistent link: https://www.econbiz.de/10009740861

Special section: advances in financial risk management and economic policy uncertainty

Hammoudeh, Shawkat (ed.); McAleer, Michael (ed.) - 2015

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Advances in financial risk management and economic policy uncertainty : an overview

Hammoudeh, Shawkat; McAleer, Michael - In: International review of economics & finance : IREF 40 (2015), pp. 1-7

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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

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