Accurate minimum capital risk requirements: A comparison of several approaches

Journal of Banking and Finance

Volumn 32, Issue 11, 2008, Pages 2482-2492

  Grane A ^a   Veiga, H ^a  

^a UNIVERSIDAD CARLOS III DE MADRID   (Spain)

Author keywords

Long memory; Minimum capital risk requirement; Moving block bootstrap; Stochastic volatility; Volatility persistence

Indexed keywords

EID: 52949129828     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2008.05.003     Document Type: Article

References (43)

1. Andersen T., Bollerslev T., Christoffersen P., and Diebold F. Volatility and Correlation Forecasting. Handbook of Economic Forecasting (2006), North-Holland, Amsterdam pp. 778-878
2. Baillie R. Long memory processes and fractional integration in econometrics. Journal of Econometrics 73 (1996) 5-59
3. Baillie R., and Bollerslev T. The forward premium anomaly is not as bad as you think. Journal of International Money and Finance 19 (2000) 471-488
4. Baillie R., Bollerslev T., and Mikkelsen H. Fractionally integrated generalized autoregressive conditional heteroskedasticity. Journal of Econometrics 74 (1996) 3-30
5. Baillie R., Han Y., and Kwon T.-G. Further long memory properties of inflactionary shocks. Southern Economic Journal 68 (2002) 496-510
6. Baillie, R., Han, Y.-W., Myers, R., Song, J., 2007. Long memory and FIGARCH models for daily and high frequency commodity prices. Working Paper 594, Queen Mary, University of London.
7. Bollerslev T., and Mikkelsen H. Modeling and pricing long memory in stock market volatility. Journal of Econometrics 73 (1996) 151-184
8. Breidt F., Crato N., and de Lima P. On the detection and estimation of long memory in stochastic volatility. Journal of Econometrics 83 (1998) 325-348
9. Brock W., Dechert D., Scheinkman H., and LeBaron B. A test for independence based on the correlation dimension. Econometric Reviews 15 (1996) 197-235
10. Brooks C. Introductory Econometrics for Finance (2002), Cambridge University Press
11. Brooks C., Clare A., and Persand G. A word of caution on calculating market-based minimum capital risk requirements. Journal of Banking and Finance 24 (2000) 1557-1574
12. Brooks C., and Persand G. The effect of asymmetries on stock index return value at risk estimates. Journal of Risk Finance 4 2 (2003) 29-42
13. Cardamone, E., Folkinshteyn, D., 2007. HYGARCH approach to estimating interest rate and exchange rate sensitivity of a large sample of US banking institutions. Working Paper, Temple University.
14. Christoffersen P. Evaluating interval forecasts. International Economic Review 39 (1998) 841-862
15. Christoffersen P., and Diebold F. How relevant is volatility forecasting for financial risk management?. Review of Economics and Statistics 82 (2000) 1-11
16. Davidson J. Moment and memory properties of linear conditional heteroscedasticity models, and a new model. Journal of Business and Economic Statistics 22 (2004) 16-29
17. Diebold F. Empirical Modeling of Exchange Rate Dynamics (1988), Springer-Verlag, New York
18. Dowd K. Beyond Value at Risk: The New Science of Risk Management (1998), Wiley, Chichester, UK
19. Efron B., and Tibshirani R. An Introduction to the Bootstrap (1993), Chapman & Hall
20. Giot P., and Laurent S. Value-at-risk for long and short trading positions. Journal of Applied Econometrics 18 (2003) 641-663
21. Giot P., and Laurent S. Modelling daily value-at-risk using realized volatility and ARCH type models. Journal of Empirical Finance 11 (2004) 379-398
22. Glosten L., Jagannathan R., and Runkle D. On the relation between expected value and the volatility of the nominal excess return on stocks. Journal of Finance 48 (1993) 1779-1801
23. Harvey A. Long Memory in Stochastic Volatility (1998), Butterworth-Heinemann, Oxford
24. Harvey, A., Shephard, N., 1993. Estimation and testing of stochastic variance models. LSE Econometrics Discussion Paper EM/93/268, London School of Economics.
25. Hsieh D. Testing for nonlinearity in daily foreign exchange rate changes. Journal of Business 62 (1989) 339-368
26. Hsieh D. Chaos and nonlinear dynamics: Application to financial markets. Journal of Finance 46 (1991) 1839-1877
27. Hsieh D. Implications of nonlinear dynamics for financial risk management. The Journal of Financial and Quantitative Analysis 28 (1993) 41-64
28. Jin H., and Frechette D. Fractional integration in agricultural futures price volatilities. American Journal of Agricultural Economics 86 (2004) 432-443
29. Jorion P. Value at Risk (2001), McGraw-Hill, New York
30. Kiefer N., and Salmon M. Testing normality in econometric models. Economics Letters 11 (1983) 123-127
31. Künsch H. The jackknife and the bootstrap for general stationary observations. The Annals of Statistics 17 (1989) 1217-1261
32. Lahiri S. Resampling Methods for Dependent Data (2003), Springer-Verlag Inc., New York
33. Laurent S., and Peters J.-P. Estimating and Forecasting ARCH Models (2006), Timberlake Consultants Press, London
34. Lehar A., Scheicher M., and Schittenkopf C. GARCH vs. stochastic volatility: Option pricing and risk management. Journal of Banking and Finance 26 (2002) 323-345
35. Liu R., and Singh K. Moving blocks jackknife and bootstrap capture weak dependence. In: Lepage R., and Billard L. (Eds). Exploring the Limits of the Bootstrap (1992), Wiley, New York 225-248
36. McCracken M. Robust out-of-sample inference. Journal of Econometrics 99 (2000) 195-223
37. Pérez A., and Ruiz E. Finite sample properties of a QML estimator of stochastic volatility models with long memory. Economic Letters 70 (2001) 157-164
38. Taylor S. Modelling Financial Time Series (1986), Wiley, New York
39. Taylor S. Asset Price Dynamics, Volatility and Prediction (2005), Princeton University Press
40. West K. Asymptotic inference about predictive ability. Econometrica 64 (1996) 1067-1084
41. Yajima Y. On estimation of a regression model with long-memory stationary errors. Annals of Statistics 16 (1988) 791-807
42. Zaffaroni, P., 2005. Whittle estimation of exponential volatility models. Working Paper, University College of London.
43. Zohar S. Toeplitz matix inversion: The algorithm of W.F. Trench. Journal of the Association for Computing Machinery 4 (1969) 592-601