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

Has the Basel Accord Improved Risk Management During the Global Financial Crisis?
Digital文書・図像類
McAleer, Michael, Jiménez-Martín, Juan-Ángel, Pérez-Amaral, TeodosioInstitute of Economic Research, Kyoto University2012-11KIER Discussion Paper832
Available onlineOther Libraries in Japan
  • Subject HeadingValue-at-Risk (VaR) daily capital charges violation penalties optimizin...

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

GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies
Digital文書・図像類
Santos, Paulo Araújo, Jiménez-Martín, Juan-Ángel, Amaral, Teodosio Pérez, McAleer, MichaelInstitute of Economic Research, Kyoto University2011-07KIER Discussion Paper782
Available onlineOther Libraries in Japan
  • Subject HeadingValue-at-Risk (VaR) DPOT daily capital charges robust forecasts violation pe...

Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures

Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures
Digital文書・図像類
Casarin, Roberto, Chang, Chia-Lin, Jiménez-Martín, Juan-Ángel, McAleer, Michael, Pérez-Amaral, TeodosioInstitute of Economic Research, Kyoto University2011-07KIER Discussion Paper784
Available onlineOther Libraries in Japan
  • Subject HeadingMedian strategy Value-at-Risk daily capital charges violation penalties aggressiv...

Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures

Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures
Digital文書・図像類
Chang, Chia-Lin, Jiménez-Martín, Juan-Ángel, McAleer, Michael, Pérez-Amaral, TeodosioInstitute of Economic Research, Kyoto University2011-03KIER Discussion Paper761
Available onlineOther Libraries in Japan
  • Subject Heading...-at-Risk (VaR) daily capital charges violation penalties optimizin...

GFC-Robust Risk Management Strategies under the Basel Accord

GFC-Robust Risk Management Strategies under the Basel Accord
Digital文書・図像類
McAleer, MichaelInstitute of Economic Research, Kyoto University2010-10KIER Discussion Paper727
Available onlineOther Libraries in Japan
  • Summary, etc....paratively low daily capital charges and violation penalties. The ...
  • Subject HeadingValue-at-Risk (VaR) daily capital charges robust forecasts violation pe...

International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord

International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord
Digital文書・図像類
McAleer, Michael, Jiménez-Martín, Juan-Ángel, Pérez-Amaral, TeodosioInstitute of Economic Research, Kyoto University2011-01KIER Discussion Paper757
Available onlineOther Libraries in Japan
  • Summary, etc....paratively low daily capital charges and violation ......violations and daily capital charges, among other c......violations and daily capital charges. The Median also performs wel...
  • Subject Heading...-at-Risk (VaR) daily capital charges robust forecasts violation pe...

Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?

Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
Digital文書・図像類
McAleer, Michael, Jiménez-Martín, Juan-Ángel, Pérez-Amaral, TeodosioInstitute of Economic Research, Kyoto University2011-04KIER Discussion Paper767
Available onlineOther Libraries in Japan
  • Subject HeadingValue-at-Risk (VaR) daily capital charges exogenous and endogenous viol...

A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk

A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk
Paper文書・図像類
McAleer, Michael, Jimenez-Martin, Juan-Angel, Teodosio, Pérez-Amaral日本経済国際共同センター2009-08Discussion paper series. CIRJE-FCIRJE-F-644
Other Libraries in Japan
  • Subject HeadingDaily capital charges endogenous violations frequen...

Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?

Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
Paper文書・図像類
McAleer, Michael, Jimenez-Martin, Juan-Angel, Teodosio, Pérez-Amaral日本経済国際共同センター2009-08Discussion paper series. CIRJE-FCIRJE-F-643
Other Libraries in Japan
  • Subject HeadingValue-at-Risk (VaR) daily capital charges exogenous and endogenous viol...

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