Similar Search Results

Has the Basel Accord Improved Risk Management During the Global Financial Crisis?

McAleer, Michael; Jiménez-Martín, Juan-Ángel; … - Tinbergen Instituut - 2013

The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...

Persistent link: https://www.econbiz.de/10011256460

Risk modelling and management : an overview

Chang, Chia-Lin; Allen, David E.; McAleer, Michael; … - 2013

Persistent link: https://www.econbiz.de/10009767001

Forecasting Value-at-Risk and Expected Shortfall of Cryptocurrencies using Combinations based on Jump-Robust and Regime-Switching Models

Trucíos, Carlos; Taylor, James W. - 2021

Several procedures to estimate daily risk measures in cryptocurrency markets have been recently proposed in the literature. Among them, procedures taking into account the presence of extreme observations, as well as procedures that include more than a single regime, have performed substantially...

Persistent link: https://www.econbiz.de/10013242299

A Comparison of Methods for Forecasting Value-at-Risk and Expected Shortfall of Cryptocurrencies

Trucíos, Carlos; Taylor, James W. - 2022

Several procedures to forecast daily risk measures in cryptocurrency markets have been recently implemented in the literature. Among them, long-memory processes, procedures taking into account the presence of extreme observations, procedures that include more than a single regime, as well as...

Persistent link: https://www.econbiz.de/10013298650

Risk Aggregation, Tail Risk, Correlation : Capital Allocation Efficiency and Regulator-Set Standard Models for Bank Capital

Violi, Roberto - 2023

In modern frameworks for financial regulation such as Basel III, IV as well as Solvency II, financial institutions are regulated to maintain a certain level of capital to prepare for potential future losses. In this paper, we take the perspective of a regulator who designs regulatory capital...

Persistent link: https://www.econbiz.de/10014257579

Operational risk management and implications for bank's economic capital - a case study

Chalupka, Radovan (contributor); Teplý, Petr (contributor) - 2008

In this paper we review the actual operational data of an anonymous Central European Bank, using two approaches …

Persistent link: https://www.econbiz.de/10003755227

Effects of SFAS 133 on the Risk Relevance of Accounting Measures of Banks’ Derivative Exposures

Ahmed, Anwer S. - 2012

We provide evidence on the effects of SFAS 133 on the risk relevance of accounting measures of bank derivative … classified as trading after SFAS 133. For these banks, trading derivative exposures offset non-derivative trading exposures to a … relevance of accounting measures of derivative exposures to bond investors and benefited banks in terms of reducing their cost …

Persistent link: https://www.econbiz.de/10013115557

Risk management of risk under the Basel accord: a Bayesian approach to forecasting value-at-risk of VIX futures

Casarin, Roberto; Chang, Chia-Lin; Jiménez-Martín, … - 2011 - Rev.

Persistent link: https://www.econbiz.de/10009619354

Risk management of risk under the Basel accord: forecasting value-at-risk of VIX futures

Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2011

Persistent link: https://www.econbiz.de/10009619372

Risk management of risk under the Basel Accord : a Bayesian approach to forecasting value-at-risk of VIX futures

Casarin, Roberto; Chang, Chia-Lin; Jiménez-Martín, … - 2011 - Rev.

Persistent link: https://www.econbiz.de/10009413659