McAleer, Michael; Jiménez-Martín, Juan-Ángel; … - Institute of Economic Research, Kyoto University - 2011
estimated VaR. In this paper we define risk management in terms of choosing sensibly from a variety of risk models, and discuss … examine how different risk management strategies performed during the 2008-09 financial crisis. These issues are illustrated … using Standard and Poor's 500 Index, with an emphasis on how market risk management practices were encouraged by the Basel …