It pays to violate: Model choice and critical value assumption for forecasting value-at-risk thresholds

MODSIM05 - International Congress on Modelling and Simulation: Advances and Applications for Management and Decision Making, Proceedings

Volumn , Issue , 2005, Pages 2304-2311

  Da Veiga, Bernardo ^a   Chan, Felix ^a   McAleer, Michael ^a  

^a UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

Author keywords

Basel accord penalties; Forecasting; GARCH; Risk management; Value at risk

Indexed keywords

BASEL ACCORD PENALTIES; CRITICAL VALUE; GARCH; INTERNAL MODELS; MODEL CHOICE; OPPORTUNITY COSTS; USE-MODEL; VALUE AT RISK;

FORECASTING; RISK MANAGEMENT; RISK PERCEPTION; VALUE ENGINEERING;

COMPUTER SIMULATION; VALUE ENGINEERING;

EID: 67349280429     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

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