It pays to violate: How effective are the Basel accord penalties in encouraging risk management?

Accounting and Finance

Volumn 52, Issue 1, 2012, Pages 95-116

  da Veiga, Bernardo ^a   Chan, Felix ^a   Mcaleer, Michael ^b,c  

^a CURTIN UNIVERSITY   (Australia)

^b Erasmus University Rotterdam   (Netherlands)

^c TINBERGEN INSTITUTE   (Netherlands)

Author keywords

Backtesting; Basel accord penalties; C22; C53; Forecasting; G11; G17; G32; GARCH; Risk management; Simulations; Value at risk

Indexed keywords

EID: 84855933765     PISSN: 08105391     EISSN: 1467629X     Source Type: Journal    
DOI: 10.1111/j.1467-629X.2011.00422.x     Document Type: Article

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