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~institution:"Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid"
~person:"Pérez-Amaral, Teodosio"
~subject:"Conditional value at risk"
~subject:"global financial crisis (GFC)"
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Conditional value at risk
global financial crisis (GFC)
optimizing strategy
6
daily capital charges
5
Basel II Accord
4
Value-at-Risk (VaR)
4
violation penalties
4
risk forecasts
3
Median strategy
2
aggressive risk management
2
conservative risk management
2
frequency of violations
2
robust forecasts
2
value-at-risk
2
Aggressive risk strategy
1
Conservative risk strategy
1
Daily capital charges
1
Financial portfolios
1
Optimal risk management
1
Risk management
1
VIX futures
1
Value-at-risk forecasts
1
Violations
1
aggressive or conservative risk management strategies
1
aggressive risk management strategy
1
alternative risk strategies
1
average daily capital requirements
1
combining risk models
1
conservative risk management strategy
1
endogenous violations
1
exogenous and endogenous violations
1
financial crisis
1
global financial crisis
1
green zone
1
magnitude of violations
1
red zone
1
value-at-risk forecasts
1
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English
2
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Pérez-Amaral, Teodosio
McAleer, Michael
3
Jimenez-Martin, Juan Angel Jimenez Martin
2
Allen, David Edmund
1
Chang, Chia-Lin
1
Powell, Robert J.
1
Singh, Abhay K.
1
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
Department of Economics and Finance, College of Business and Economics
2
Institute of Economic Research, Kyoto University
2
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Documentos de Trabajo del ICAE
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RePEc
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International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord
McAleer, Michael
;
Jimenez-Martin, Juan Angel Jimenez Martin
-
Facultad de Ciencias Económicas y Empresariales, …
-
2011
selecting a
Value-at-Risk
(VaR) forecast that combines the forecasts of different VaR models, was proposed in McAleer et al …
Persistent link: https://www.econbiz.de/10008799922
Saved in:
2
Risk Management of Risk under the Basel Accord: Forecasting
Value-at-Risk
of VIX Futures
Chang, Chia-Lin
;
Jimenez-Martin, Juan Angel Jimenez Martin
-
Facultad de Ciencias Económicas y Empresariales, …
-
2011
to measure
Value-at-Risk
(VaR). The risk estimates of these models are used to determine capital requirements and …
Persistent link: https://www.econbiz.de/10008852432
Saved in:
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