Chang, Chia-Lin; Jimenez-Martin, Juan Angel Jimenez Martin - Facultad de Ciencias Económicas y Empresariales, … - 2014
capital charges (DCC) and associated capital costs of ADIs, depending in part on the number of previous violations, whereby … alternative risk models to forecast Value-at-Risk (VaR). The risk estimates from these models are used to determine the daily …