single and combined VaR forecasts in terms of daily capital requirements and violation penalties under the Basel II Accord …

expected shortfall (MES), and SRISK-to compare with the Basel guidelines as benchmark. We use Indonesian banks' market and … concordance with the Basel guidelines as applied by a bank supervisor. The findings show that SRISK produced a more consistent …. Further, all theoretical models are in line with the Basel guidelines, where the closest approximation is at 47%. The results …