sample period for comparison. These extreme value models include DPOT and Conditional EVT. Such models might be expected to … single and combined VaR forecasts in terms of daily capital requirements and violation penalties under the Basel II Accord …

the Basel II Accord by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The … extreme value forecasting models and by extending the sample period for comparison. These extreme value models include DPOT … requirements and violation penalties under the Basel II Accord, as well as other criteria, including several tests for independence …

the Basel II Accord by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The … extreme value forecasting models and by extending the sample period for comparison. These extreme value models include DPOT … requirements and violation penalties under the Basel II Accord, as well as other criteria, including several tests for independence …

the Basel II Accord by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The … extreme value forecasting models and by extending the sample period for comparison. These extreme value models include DPOT … requirements and violation penalties under the Basel II Accord, as well as other criteria, including several tests for independence …

the Basel II Accord by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The … extreme value forecasting models and by extending the sample period for comparison. These extreme value models include DPOT … requirements and violation penalties under the Basel II Accord, as well as other criteria, including several tests for independence …

period for comparison. These extreme value models include DPOT and Conditional EVT. Such models might be expected to be … and combined VaR forecasts in terms of daily capital requirements and violation penalties under the Basel II Accord, as …

The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily … aggressive risk management strategy, and evaluate the effects of the Basel II Accord on risk management. We also examine how risk … practices were monitored and encouraged by the Basel II Accord regulations during the financial crisis. …

requirements and violation penalties under the Basel II Accord, as well as other criteria. In the empirical analysis, we choose … in the comparison. Backtesting is performed on each of these indexes using the Basel II Accord regulations for 2008-10 to …

requirements and violation penalties under the Basel II Accord, as well as other criteria. In the empirical analysis, we choose … in the comparison. Backtesting is performed on each of these indexes using the Basel II Accord regulations for 2008-10 to …