𝔖 Bobbio Scriptorium
✦   LIBER   ✦

THE TEN COMMANDMENTS FOR OPTIMIZING VALUE-AT-RISK AND DAILY CAPITAL CHARGES

✍ Scribed by Michael McAleer


Book ID
110940582
Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
196 KB
Volume
23
Category
Article
ISSN
0950-0804

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


A decision rule to minimize daily capita
✍ Michael McAleer; Juan-Angel Jimenez-Martin; Teodosio Pérez-Amaral 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 529 KB

## Abstract 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 esti