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~isPartOf:"Econometric Institute Research Papers"
~language:"und"
~subject:"global financial crisis (GFC)"
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global financial crisis (GFC)
global financial crisis
7
daily capital charges
5
optimizing strategy
5
violation penalties
5
Value-at-Risk (VaR)
4
asymmetry
4
exchange rates
4
EGARCH
3
GARCH
3
GJR
3
HAR
3
aggressive risk management
3
conservative risk management
3
leverage
3
robust forecasts
3
Korean tourist arrivals
2
basel II Accord
2
long memory
2
median strategy
2
Asian economic and financial crisis
1
Basel
1
Basel II Accord
1
Basel accord
1
DPOT
1
VIX futures
1
aggressive or conservative risk management stretegies
1
aggressive risk management strategy
1
approximate long memory
1
approximate price effect
1
approximate price effects
1
conservative risk management strategy
1
contingent capital
1
corporate risk taking
1
credit risk
1
daily effects
1
diagnostic checking
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dynamic price integration
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equity markets
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inflation targeting
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Jimenez-Martin, Jimenez-Martin, J-A.
2
McAleer, Michael
2
Perez-Amaral, Perez-Amaral, T.
2
Chang, Chia-Lin
1
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
2
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Econometric Institute Research Papers
KIER Working Papers
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Econometric Institute Report
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Journal of International Commerce, Economics and Policy (JICEP)
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RePEc
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Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures
Chang, Chia-Lin
;
McAleer, Michael
;
Jimenez-Martin, …
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2011
different risk management strategies performed during the 2008-09
global
financial
crisis
(GFC). We find that an aggressive …
Persistent link: https://www.econbiz.de/10010837790
Saved in:
2
International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord
McAleer, Michael
;
Jimenez-Martin, Jimenez-Martin, J-A.
; …
-
Faculteit der Economische Wetenschappen, Erasmus …
-
2011
A risk management strategy that is designed to be robust to the
Global
Financial
Crisis
(GFC), in the sense of …
Persistent link: https://www.econbiz.de/10010732597
Saved in:
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