Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/69897
標題: THE TEN COMMANDMENTS FOR OPTIMIZING VALUE-AT-RISK AND DAILY CAPITAL CHARGES
作者: McAleer, M.
關鍵字: Daily capital charges
Excessive risk taking
Market risk
Risk
management
Value-at-risk
Violations
autoregressive conditional heteroskedasticity
multivariate stochastic
volatility
asymptotic theory
generalized arch
garch processes
models
index
期刊/報告no:: Journal of Economic Surveys, Volume 23, Issue 5, Page(s) 831-849.
摘要: Credit risk is the most important type of risk in terms of monetary value. Another key risk measure is market risk, which is concerned with stocks and bonds, and related financial derivatives, as well as exchange rates and interest rates. This paper is concerned with market risk management and monitoring under the Basel II Accord, and presents Ten Commandments for optimizing value-at-risk (VaR) and daily capital charges, based on choosing wisely from (1) conditional, stochastic and realized volatility; (2) symmetry, asymmetry and leverage; (3) dynamic correlations and dynamic covariances; (4) single index and portfolio models; (5) parametric, semi-parametric and non-parametric models; (6) estimation, simulation and calibration of parameters; (7) assumptions, regularity conditions and statistical properties; (8) accuracy in calculating moments and forecasts; (9) optimizing threshold violations and economic benefits; and (10) optimizing private and public benefits of risk management. For practical purposes, it is found that the Basel II Accord would seem to encourage excessive risk taking at the expense of providing accurate measures and forecasts of risk and VaR.
URI: http://hdl.handle.net/11455/69897
ISSN: 0950-0804
文章連結: http://dx.doi.org/10.1111/j.1467-6419.2009.00588.x
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