International evidence on GFC-robust forecasts for risk management under the Basel Accord

Journal of Forecasting

Volumn 32, Issue 3, 2013, Pages 267-288

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

^a Erasmus University Rotterdam   (Netherlands)

^b TINBERGEN INSTITUTE   (Netherlands)

^c KYOTO UNIVERSITY   (Japan)

^d UNIVERSIDAD COMPLUTENSE DE MADRID   (Spain)

Author keywords

Aggressive risk management; Basel II Accord; Conservative risk management; Daily capital charges; Global financial crisis (GFC); Median strategy; Optimizing strategy; Robust forecasts; Value at risk (VaR); Violation penalties

Indexed keywords

FINANCE; FORECASTING; VALUE ENGINEERING;

AGGRESSIVE RISK MANAGEMENT; BASEL II; BASEL II ACCORD; CONSERVATIVE RISK MANAGEMENT; DAILY CAPITAL CHARGE; GLOBAL FINANCIAL CRISIS; MEDIAN STRATEGY; OPTIMIZING STRATEGY; RISKS MANAGEMENT; ROBUST FORECAST; VALUE AT RISK; VALUE-AT-RISK; VIOLATION PENALTY;

RISK MANAGEMENT;

EID: 84879892591     PISSN: 02776693     EISSN: 1099131X     Source Type: Journal    
DOI: 10.1002/for.1269     Document Type: Article

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