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~person:"Pérez-Amaral, Teodosio"
~subject:"aggressive or conservative risk management strategies"
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aggressive or conservative risk management strategies
daily capital charges
19
optimizing strategy
19
Value-at-Risk (VaR)
18
violation penalties
18
Basel II Accord
15
risk forecasts
10
Median strategy
8
aggressive risk management
7
conservative risk management
7
global financial crisis
7
VIX futures
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global financial crisis (GFC)
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robust forecasts
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Basel Accord
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exogenous and endogenous violations
5
Daily capital charges
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Value-at-Risk
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financial crisis
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Optimizing strategy
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aggressive risk management strategy
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conservative risk management strategy
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Basel III Accord
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Basler Akkord
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Bayesian strategy
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Expected Shortfall
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Finanzkrise
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Risikomaß
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Stochastic dominance
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Unternehmenspublizität
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frequency of violations
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value-at-risk
2
Aggressive risk strategy
1
Bankenliquidität
1
Banks
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Conservative risk strategy
1
DPOT
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1
Financial portfolios
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Pérez-Amaral, Teodosio
McAleer, Michael
12
Jimenez-Martin, Juan-Angel
5
Jiménez-Martín, Juan-Ángel
4
Jimenez-Martin, Juan Angel Jimenez Martin
2
Amaral, Teodosio Pérez
1
Jimenez-Martin, Jimenez-Martin, J-A.
1
Perez-Amaral, Perez-Amaral, T.
1
Perez-Amaral, Teodosio
1
Pérez Amaral, Teodosio
1
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Tinbergen Instituut
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1
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
1
Institute of Economic Research, Kyoto University
1
Tinbergen Institute
1
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Tinbergen Institute Discussion Papers
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RePEc
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EconStor
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1
Has the Basel Accord Improved Risk Management During the Global Financial Crisis?
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
; …
-
2013
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/10010326358
Saved in:
2
Has the Basel Accord Improved Risk Management During the Global Financial Crisis?
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
; …
-
Tinbergen Instituut
-
2013
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/10011256460
Saved in:
3
Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
; …
-
Institute of Economic Research, Kyoto University
-
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/10008924622
Saved in:
4
Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
McAleer, Michael
;
Jimenez-Martin, Juan-Angel
; …
-
2009
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/10010326056
Saved in:
5
Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
Jimenez-Martin, Juan Angel Jimenez Martin
;
McAleer, Michael
-
Facultad de Ciencias Económicas y Empresariales, …
-
2009
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/10005012106
Saved in:
6
Has the Basel Accord Improved Risk Management During the Global Financial Crisis
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
; …
-
Department of Economics and Finance, College of …
-
2013
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/10010907398
Saved in:
7
Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
McAleer, Michael
;
Jimenez-Martin, Juan-Angel
; …
-
Tinbergen Institute
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/10005016261
Saved in:
8
Has the Basel II Accord Encouraged Risk Management during the 2008-09 Financial Crisis?
McAleer, Michael
;
Jimenez-Martin, Juan-Angel
; …
-
Tinbergen Instituut
models 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/10011256748
Saved in:
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