McAleer, Michael; Jimenez-Martin, Juan-Angel; Perez … - Volkswirtschaftliche Fakultät, … - 2009
In this paper we advance the idea that optimal risk management under the Basel II Accord will typically require the use … of the exercise is to identify the best models for risk management in each period according to the minimization of …, during and after the 2008-09 financial crisis. Moreover, it is found that an aggressive risk management strategy, namely the …