The ten commandments for managing value at risk under the basel II accord

Journal of Economic Surveys

Volumn 23, Issue 5, 2009, Pages 850-855

  Jiménez Martín, Juan Ángel ^a   McAleer, Michael ^b,c   Pérez Amaral, Teodosio ^a  

^a UNIVERSIDAD COMPLUTENSE DE MADRID   (Spain)

^b ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

^c NATIONAL CHUNG HSING UNIVERSITY   (Taiwan)

Author keywords

Daily capital charges; Financial portfolios; Frequency of violations; Green zone; Magnitude of violations; Optimizing strategy; Red zone; Risk forecasts; Value at risk

Indexed keywords

BANKING; FINANCIAL MARKET; GUIDELINE; OPTIMIZATION; RISK ASSESSMENT;

EID: 70450064811     PISSN: 09500804     EISSN: 14676419     Source Type: Journal    
DOI: 10.1111/j.1467-6419.2009.00590.x     Document Type: Article

References (15)

1. Asai M, McAleer M, Yu J. Multivariate stochastic volatility: a review. Econometric Reviews 2006, 25:145-175.
2. International Convergence of Capital Measurement and Capital Standards 1988, Basel Committee on Banking Supervision, Basel, BIS
3. An Internal Model-based Approach to Market Risk Capital Requirements 1995, Basel Committee on Banking Supervision, Basel, BIS
4. Supervisory Framework for the Use of 'Backtesting' in Conjunction with the Internal Model-based Approach to Market Risk Capital Requirements 1996, Basel Committee on Banking Supervision, Basel, BIS
5. Caporin M, McAleer M. Do we really need both BEKK and DCC? A tale of two covariance models. 2009a, http://ssrn.com/abstract=1338190, Department of Economics, University of Padova, Available at
6. Caporin M, McAleer M. The Ten Commandments for managing investments. Journal of Economic Surveys 2009b, http://ssrn.com/abstract=1342265, forthcoming. Available at
7. Jorion P. Value at Risk: The New Benchmark for Managing Financial Risk 2000, New York, McGraw-Hill
8. Li WK, Ling S, McAleer M. Recent theoretical results for time series models with GARCH errors. Journal of Economic Surveys 2002, 16:245-269. Reprinted in M. McAleer and L. Oxley (eds), (9-33). Oxford: Blackwell
9. McAleer M. Automated inference and learning in modeling financial volatility. Econometric Theory 2005, 21:232-261.
10. McAleer M. The Ten Commandments for optimizing value-at-risk and daily capital charges. Journal of Economic Surveys 2009, http://ssrn.com/abstract=1354686, forthcoming. Available at
11. McAleer M, Medeiros MC. Realized volatility: a review. Econometric Reviews 2008, 27:10-45.
12. McAleer M, da Veiga B. Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model. Journal of Forecasting 2008a, 27:1-19.
13. McAleer M, da Veiga B. Single index and portfolio models for forecasting value-at-risk thresholds. Journal of Forecasting 2008b, 27:217-235.
14. McAleer M, Jiménez-Martin J-thomampersan, Pérez-Amaral T. A decision rule to minimize daily capital charges in forecasting value-at-risk. 2009, http://ssrn.com/abstract=1349844, Department of Quantitative Economics, Complutense University of Madrid, Available at
15. J.P. Morgan Technical Document 1996, Riskmetrics™, 4th edn, New York, J.P. Morgan