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GFC-Robust Risk Management Strategies under the Basel Accord

Jimenez-Martin, Juan Angel Jimenez Martin; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2010

computer software packages that are used by banks and other financial institutions. …

Persistent link: https://www.econbiz.de/10008764123

Has the Basel Accord improved risk management during the global financial crisis?

McAleer, Michael; Jimenez-Martin, Juan-Angel; … - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 250-265

The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily …

Persistent link: https://www.econbiz.de/10010730243

It Pays to Violate: How Effective are the Basel Accord Penalties?

McAleer, Michael; da Veiga, da Veiga, B.; Chan, Chan, F. - Faculteit der Economische Wetenschappen, Erasmus … - 2009

The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR …) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative … changes in the value of their trading portfolios. As capital reserves lead to an opportunity cost to banks, it is likely that …

Persistent link: https://www.econbiz.de/10010731585

VaR Forecast and Dynamic Conditional Correlations for Spot and Futures Returns on Stocks and Bonds

McAleer, Michael; Hakim, Hakim, A. - Faculteit der Economische Wetenschappen, Erasmus … - 2009

The paper investigates the interdependence and conditional correlations between futures contracts and their underlying assets, both for stock and bond markets, and the impact of the interdependence and conditional correlations on VaR forecasts. The paper finds evidence of volatility spillovers...

Persistent link: https://www.econbiz.de/10010731676

The ten commandments for optimizing value-at-risk and daily capital charges

McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2008

Credit risk is the most important type of risk in terms of monetary value. Another key risk measure is market risk, which is concerned with stocks and bonds, and related financial derivatives, as well as exchange rates and interest rates. This paper is concerned with market risk management and...

Persistent link: https://www.econbiz.de/10010731770

GFC-Robust Risk Management Strategies under the Basel Accord

McAleer, Michael; Jimenez-Martin, Jimenez-Martin, J-A.; … - Faculteit der Economische Wetenschappen, Erasmus … - 2010

computer software packages that are used by banks and other financial institutions. …

Persistent link: https://www.econbiz.de/10010732610

Risk Modelling and Management: An Overview

Chang, Chia-Lin; McAleer, Michael; perez-amaral, teodosio; … - Faculteit der Economische Wetenschappen, Erasmus … - 2013

The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The papers cover the following topics: currency hedging...

Persistent link: https://www.econbiz.de/10010732625

What Happened to Risk Management During the 2008-09 Financial Crisis?

McAleer, Michael; Jimenez-Martin, Jimenez-Martin, J-A.; … - Faculteit der Economische Wetenschappen, Erasmus … - 2009

When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital requirements and higher profits. Typically, GARCH type models are chosen to forecast Value-at-Risk (VaR) using a single risk model. In this paper we illustrate two useful variations to the...

Persistent link: https://www.econbiz.de/10010732629

Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH

Tansuchat, Roengchai; Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010

The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for the crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI, to calculate optimal portfolio weights and optimal hedge ratios, and...

Persistent link: https://www.econbiz.de/10010732632

Financial Dependence Analysis: Applications of Vine Copulae

Allen, David Edmund; Ashraf, Mohammad; McAleer, Michael; … - Facultad de Ciencias Económicas y Empresariales, … - 2013

This paper features the application of a novel and recently developed method of statistical and mathematical analysis to the assessment of financial risk: namely Regular Vine copulas. Dependence modeling using copulas is a popular tool in financial applications, but is usually applied to pairs...

Persistent link: https://www.econbiz.de/10010862576