GFC-robust risk management under the Basel Accord using extreme value methodologies

Paulo Araújo Santos, Juan-Ángel Jiménez-Martín, Michael McAleer and Teodosio Pérez Amaral

Year of publication:	2011
Authors:	Santos, Paulo Araújo ; Jiménez-Martín, Juan-Ángel ; McAleer, Michael ; Pérez Amaral, Teodosio
Publisher:	Christchurch : Dep. of Economics and Finance, College of Business and Economics, Univ. of Canterbury
Subject:	Finanzkrise \| Financial crisis \| Basler Akkord \| Basel Accord \| Portfolio-Management \| Portfolio selection \| Risikomaß \| Risk measure \| Prognoseverfahren \| Forecasting model \| Ausreißer \| Outliers \| Welt \| World \| 2008-2010

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