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Has the Basel II accord encouraged risk management during the 2008 - 09 financial crisis?

McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - 2009

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 … practices, forecasting VaR and daily capital charges, and discuss alternative policy recommendations, especially in light of the …

Persistent link: https://www.econbiz.de/10011378354

Has the Basel Accord improved risk management during the Global Financial Crisis?

McAleer, Michael; Jiménez-Martín, Juan-Ángel; Pérez … - 2012 - Revised: October 2012

Persistent link: https://www.econbiz.de/10010360666

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

McAleer, Michael; Jiménez-Martín, Juan-Ángel; Pérez … - 2012

Persistent link: https://www.econbiz.de/10010360674

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

McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - In: The North American journal of economics and finance : a … 26 (2013), pp. 250-265

Persistent link: https://www.econbiz.de/10010365769

The impact of model risk on capital reserves : a quantitative analysis

Bertram, Philip; Sibbertsen, Philipp; Stahl, Gerhard - In: Journal of risk 17 (2014/2015) 5, pp. 69-97

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An assessment of operational loss data and its implications for risk capital modeling

Cohen, Ruben D. - In: The journal of operational risk 11 (2016) 3, pp. 71-95

Persistent link: https://www.econbiz.de/10013177162

Incorporating single and multiple losses in operational risk : a multi-period perspective

Mizgier, Kamil J.; Wimmer, Maximilian - In: Journal of the Operational Research Society 69 (2018) 3, pp. 358-371

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How to turn uncertainties of operational risk capital into opportunities from a risk management perspective

Meunier, Philippe; Bakker, Arjan - In: The journal of operational risk 11 (2016) 2, pp. 31-68

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Should the advanced measurement approach for operational risk be discarded? : evidence from the Chinese banking industry

Zhu, Xiaoqian; Li, Jianping; Wu, Dengsheng - In: Review of Pacific Basin financial markets and policies 22 (2019) 1, pp. 1950007-1-1950007-15

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Art-secured lending : a risk analysis framework

Charlin, Ventura; Cifuentes, Arturo - In: The journal of credit risk : published quarterly by … 16 (2020) 2, pp. 67-93

Persistent link: https://www.econbiz.de/10012298997