Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/69980
標題: A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk
作者: McAleer, M.
Jimenez-Martin, J.A.
Perez-Amaral, T.
關鍵字: daily capital charges
endogenous violations
frequency of violations
optimizing strategy
risk forecasts
value-at-risk
conditional heteroskedasticity
garch errors
models
optimization
volatility
期刊/報告no:: Journal of Forecasting, Volume 29, Issue 7, Page(s) 617-634.
摘要: Under the Basel II Accord, banks and other authorized deposit-taking institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading day, using a variety of value-at-risk (VaR) models to measure risk. Sometimes the risk estimates communicated using these models are too high, thereby leading to large capital requirements and high capital costs. At other times, the risk estimates are too low, leading to excessive violations, so that realized losses are above the estimated risk. In this paper we analyze the profit-maximizing problem of an ADI subject to capital requirements under the Basel II Accord as ADIs have to choose an optimal VaR reporting strategy that minimizes daily capital charges. Accordingly, we suggest a dynamic communication and forecasting strategy that responds to violations in a discrete and instantaneous manner, while adapting more slowly in periods of no violations. We apply the proposed strategy to Standard & Poor's 500 Index and show there can be substantial savings in daily capital charges, while restricting the number of violations to within the Basel II penalty limits. Copyright (C) 2009 John Wiley & Sons, Ltd.
URI: http://hdl.handle.net/11455/69980
ISSN: 0277-6693
文章連結: http://dx.doi.org/10.1002/for.1167
Appears in Collections:期刊論文

文件中的檔案:

取得全文請前往華藝線上圖書館



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.