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 estimates of these models are used to determine capital requirements and … estimated VaR. In this paper we define risk management in terms of choosing sensibly from a variety of risk models, discuss the …

Credit risk is the most important type of risk in terms of monetary value. Another key risk measure is market risk …. This paper is concerned with market risk management and monitoring under the Basel II Accord, and presents Ten Commandments … for optimizing Value-at-Risk (VaR) and daily capital charges, based on choosing wisely from: (1) conditional, stochastic …