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...
