Jiménez-Martín, Juan-Ángel; McAleer, Michael; … - In: Journal of Economic Surveys 23 (2009) 5, pp. 850-855
Under the Basel II Accord, banks and other authorized deposit-taking institutions are required to communicate their daily market risk estimates to the relevant national monetary authority at the beginning of each trading day, using one of a variety of value-at-risk (VaR) models to measure risk....