Veiga, B. da; Chan, F.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 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 …