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~institution:"Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid"
~subject:"global financial crisis (GFC)"
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global financial crisis (GFC)
optimizing strategy
9
daily capital charges
8
violation penalties
7
Value-at-Risk (VaR)
6
value-at-risk
5
Basel II Accord
4
Risk management
4
VIX futures
4
Value-at-Risk
4
global financial crisis
4
risk forecasts
4
Basel Accord
3
Daily capital charges
3
Median strategy
3
aggressive risk management
3
conservative risk management
3
robust forecasts
3
Credit risk
2
Forecasting
2
Mixture models
2
Quantiles
2
Realized volatility
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Value at Risk
2
Value-at-risk
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Violations
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aggressive or conservative risk management strategies
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frequency of violations
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Aggressive risk management
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Aggressive risk strategy
1
Asymmetry
1
BRICS
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Basel
1
Basel III Accord
1
Bayesian strategy
1
CAViaR model
1
Capital adequacy buffer model
1
Capital buffer
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Conditional heteroskedasticity
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Conditional value at risk
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English
2
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Jimenez-Martin, Juan Angel Jimenez Martin
2
McAleer, Michael
2
Pérez-Amaral, Teodosio
2
Chang, Chia-Lin
1
Institution
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
Department of Economics and Finance, College of Business and Economics
2
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
2
Institute of Economic Research, Kyoto University
2
Erasmus University Rotterdam, Econometric Institute
1
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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:
2
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:
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