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~person:"Pérez-Amaral, Teodosio"
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Search: subject:"value at risk"
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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 or conservative risk management strategies
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aggressive risk management
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conservative risk management
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global financial crisis
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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
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Daily capital charges
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financial crisis
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Optimizing strategy
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aggressive 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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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
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Aggressive risk strategy
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Bankenliquidität
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Banks
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Conservative risk strategy
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DPOT
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Einlagengeschäft
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Financial portfolios
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Pérez-Amaral, Teodosio
McAleer, Michael
193
Allen, David E.
59
Härdle, Wolfgang
58
Chang, Chia-Lin
51
Wang, Ruodu
49
Stoja, Evarist
43
Daníelsson, Jón
41
Hammoudeh, Shawkat
40
Jiménez-Martín, Juan-Ángel
39
Vries, Casper G. de
38
Fabozzi, Frank J.
37
Mittnik, Stefan
35
Dowd, Kevin
33
Polanski, Arnold
33
Pérez Amaral, Teodosio
32
Paolella, Marc S.
31
Gerlach, Richard
28
Powell, Robert
28
Embrechts, Paul
27
Lucas, André
27
Vanduffel, Steven
27
Caporin, Massimiliano
26
Härdle, Wolfgang Karl
25
Righi, Marcelo Brutti
25
Rüschendorf, Ludger
25
Schienle, Melanie
25
Albrecht, Peter
24
Giot, Pierre
24
Hoogerheide, Lennart
24
Huschens, Stefan
24
Rosazza Gianin, Emanuela
24
Schaumburg, Julia
24
Ardia, David
23
Dhaene, Jan
23
Hautsch, Nikolaus
23
Brandtner, Mario
22
Kratz, Marie
22
Račev, Svetlozar T.
22
Stoyanov, Stoyan V.
22
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
8
Institute of Economic Research, Kyoto University
5
Department of Economics and Finance, College of Business and Economics
4
Tinbergen Instituut
2
Tinbergen Institute
1
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Documentos de Trabajo del ICAE
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KIER Working Papers
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RePEc
23
EconStor
4
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1
A Stochastic Dominance Approach to the Basel III Dilemma: Expected Shortfall or VaR?
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
system from
Value-at-Risk
(VaR) to Expected Shortfall (ES). The BCBS (2013) noted that "a number of weaknesses have been …
Persistent link: https://www.econbiz.de/10011288403
Saved in:
2
Choosing Expected Shortfall over VaR in Basel III Using Stochastic Dominance
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
shifting the quantitative risk metrics system from
Value-at-Risk
(VaR) to Expected Shortfall (ES). The Basel Committee on …
Persistent link: https://www.econbiz.de/10011451509
Saved in:
3
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:
4
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:
5
Risk Management of Risk under the Basel Accord: Forecasting
Value-at-Risk
of VIX Futures
Chang, Chia-Lin
;
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/10008862830
Saved in:
6
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:
7
International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
; …
-
Institute of Economic Research, Kyoto University
-
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/10008790034
Saved in:
8
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:
9
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:
10
Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting
Value-at-Risk
of VIX Futures
McAleer, Michael
;
Casarin, Roberto
;
Chang, Chia-Lin
; …
-
Institute of Economic Research, Kyoto University
-
2011
more risk models, whether individually or as combinations, to measure
Value-at-Risk
(VaR). The risk estimates of these …
Persistent link: https://www.econbiz.de/10009195302
Saved in:
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