It Pays to Violate: How Effective are the Basel Accord Penalties?
Year of publication: |
2009-11-24
|
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Authors: | Veiga, B. da ; Chan, F. ; McAleer, M.J. |
Institutions: | Erasmus University Rotterdam, Econometric Institute |
Subject: | Value-at-Risk (VaR) | GARCH | risk management | violations | forecasting | simulations | Basel accord penalties |
Extent: | application/pdf |
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Series: | Econometric Institute Report. - ISSN 1566-7294. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:dgr:eureir Number EI 2009-39 |
Source: |
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It Pays to Violate: How Effective are the Basel Accord Penalties?
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