Jimenez-Martin, Juan Angel Jimenez Martin; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2009
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...