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THE TEN COMMANDMENTS FOR MANAGING VALUE AT RISK UNDER THE BASEL II ACCORD

✍ Scribed by Juan-Ángel Jiménez-Martín; Michael McAleer; Teodosio Pérez-Amaral

Book ID
110940584
Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
58 KB
Volume
23
Category
Article
ISSN
0950-0804

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✍ Michael McAleer; Juan-Ángel Jiménez-Martín; Teodosio Pérez-Amaral 📂 Article 📅 2012 🏛 John Wiley and Sons 🌐 English ⚖ 979 KB

## ABSTRACT A risk management strategy designed to be robust to the global financial crisis (GFC), in the sense of selecting a value‐at‐risk (VaR) forecast that combines the forecasts of different VaR models, was proposed by McAleer and coworkers in 2010. The robust forecast is based on the median