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The Ten Commandments for optimizing Value-at-Risk and daily capital charges
McAleer, Michael (contributor) - 2008
Persistent link: https://www.econbiz.de/10003780795
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The ten commandments for optimizing value-at-risk and daily capital charges
McAleer, Michael - In: Journal of economic surveys 23 (2009) 5, pp. 831-849
Persistent link: https://www.econbiz.de/10003906434
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Evaluating the impact of market reforms on Value-at-Risk forecasts of Chinese A and B shares
Da Veiga, Bernardo; Chan, Felix; McAleer, Michael - In: Pacific-Basin finance journal 16 (2008) 4, pp. 453-475
Persistent link: https://www.econbiz.de/10003757401
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Realized volatility uncertainty
Allen, David E. (contributor); McAleer, Michael (contributor) - 2008
Persistent link: https://www.econbiz.de/10003760022
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Forecasting value-at-risk with a parsimonious Portfolio Spillover GARCH (PS-GARCH) model
McAleer, Michael; Da Veiga, Bernardo - In: Journal of forecasting 27 (2008) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10003738381
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Single-index and portfolio models for forecasting value-at-risk thresholds
McAleer, Michael; Da Veiga, Bernardo - In: Journal of forecasting 27 (2008) 3, pp. 217-235
Persistent link: https://www.econbiz.de/10003738590
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Has the Basel II Accord encouraged risk management dur the 2008-09 financial crisis?
McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - 2009
Persistent link: https://www.econbiz.de/10003851225
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A decision rule to minimize daily capital charges in forecasting value-at-risk
McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - 2008
Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading day, using a variety of Value-at-Risk (VaR) models to measure risk. Sometimes the risk estimates...
Persistent link: https://www.econbiz.de/10003893363
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The ten commandments for managing value at risk under the Basel II Accord
Jiménez-Martín, Juan-Ángel; McAleer, Michael; Pérez … - In: Journal of economic surveys 23 (2009) 5, pp. 850-855
Persistent link: https://www.econbiz.de/10003906435
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VaR forecasts and dynamic conditional correlations for spot and futures returns on stocks and bonds
Hakim, Abdul; McAleer, Michael - 2009
Persistent link: https://www.econbiz.de/10003908707