Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/69896
標題: THE TEN COMMANDMENTS FOR MANAGING VALUE AT RISK UNDER THE BASEL II ACCORD
作者: Jimenez-Martin, J.A.
McAleer, M.
Perez-Amaral, T.
關鍵字: Daily capital charges
Financial portfolios
Frequency of violations
Green zone
Magnitude of violations
Optimizing strategy
Red zone
Risk
forecasts
Value at risk
value-at-risk
volatility
models
期刊/報告no:: Journal of Economic Surveys, Volume 23, Issue 5, Page(s) 850-855.
摘要: Under the Basel II Accord, banks and other authorized deposit-taking institutions are required to communicate their daily market risk estimates to the relevant national monetary authority at the beginning of each trading day, using one of a variety of value-at-risk (VaR) models to measure risk. The purpose of this paper is to provide a simple explanation and a set of prescriptions for managing VaR under the Basel II Accord. The commandments deal with understanding the Basel II colours, understanding the risk model before choosing, varying the choice of risk model, avoiding the green zone and being willing to violate, incurring large violations, stopping before the red zone, avoiding frequent violations, avoiding the estimation of large portfolios, aggregating portfolios into a single index and interpreting commandments sensibly as guidelines.
URI: http://hdl.handle.net/11455/69896
ISSN: 0950-0804
文章連結: http://dx.doi.org/10.1111/j.1467-6419.2009.00590.x
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