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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
  • Summary, etc....te their daily risk forecasts to the appropriate monetary a...
  • Subject Heading...izing strategy risk forecasts aggressive or conservative ri...

Model Selection and Testing of Conditional and Stochastic Volatility Models

Model Selection and Testing of Conditional and Stochastic Volatility Models
Digital文書・図像類
McAleer, MichaelInstitute of Economic Research, Kyoto University2010-09KIER Discussion Paper724
Available onlineOther Libraries in Japan
  • Summary, etc....ed on Value-at-Risk forecasts. Finally, we present an empir...
  • Subject Heading...e set Value-at-Risk forecasts asymmetry leverage

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
  • Summary, etc....te their daily risk forecasts to the appropriate monetary a...
  • Subject Heading...izing strategy risk forecasts aggressive or conservative ri...

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 Heading...izing strategy risk forecasts value-at-risk JEL Classificat...

What Happened to Risk Management During the 2008-09 Financial Crisis?

What Happened to Risk Management During the 2008-09 Financial Crisis?
Paper文書・図像類
McAleer, Michael, Juan-Angel, Jimenez-Martin and Teodosio Pérez-Amaral日本経済国際共同センター2009-08Discussion paper series. CIRJE-FCIRJE-F-636
Other Libraries in Japan
  • Subject Heading...ategy value-at-risk forecasts JEL Classifications: G32, G11...

Optimal Risk Management Before, During and After the 2008-09 Financial Crisis

Optimal Risk Management Before, During and After the 2008-09 Financial Crisis
Paper文書・図像類
McAleer, Michael, Jimenez-Martin, Juan-Angel, Teodosio, P?rez-Amaral日本経済国際共同センター2009-09Discussion paper series. CIRJE-FCIRJE-F-667
Other Libraries in Japan
  • Subject Heading...egies value-at-risk forecasts combining risk models JEL Cla...

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 Heading...izing strategy risk forecasts aggressive or conservative ri...

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