GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies

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GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies

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Material Type: 文書・図像類
Title: GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies
Author/Editor: Santos, Paulo Araújo
Jiménez-Martín, Juan-Ángel
Amaral, Teodosio Pérez
McAleer, Michael
Author Heading: Santos, Paulo Araújo
Jiménez-Martín, Juan-Ángel
Amaral, Teodosio Pérez
McAleer, Michael
Publication, Distribution, etc.: Institute of Economic Research, Kyoto University
Publication Date: 2011-07
Publication Date (W3CDTF): 2011-07
Periodical title: KIER Discussion Paper
No. or year of volume/issue: 782
Volume: 782
Text Language Code: eng
Subject Heading: Value-at-Risk (VaR)
DPOT
daily capital charges
robust forecasts
violation penalties
optimizing strategy
aggressive risk management
conservative risk management
Basel
global financial crisis
NDC: 330
Target Audience: 一般
Format (IMT): application/pdf
Source: DP782.pdf （fulltext）
http://repository.kulib.kyoto-u.ac.jp/dspace/bitstream/2433/142944/1/DP782.pdf
Access Restrictions: インターネット公開
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 京都大学 : 京都大学学術情報リポジトリ