McAleer, Michael; da Veiga, da Veiga, B.; Chan, Chan, F. - Faculteit der Economische Wetenschappen, Erasmus … - 2009
The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR … problem the Basel Accord introduced a backtesting procedure, whereby banks using models that led to excessive violations are … constraints and the penalty structure of the Basel Accord, the lowest capital charges arise when using models that lead to …