A decision rule to minimize daily capital charges in forecasting value-at-risk

Journal of Forecasting

Volumn 29, Issue 7, 2010, Pages 617-634

  McAleer, Michael ^a,b,c,d   Jimenez Martin, Juan Angel ^c   Pérez Amaral, Teodosio ^c  

^a Erasmus University Rotterdam   (Netherlands)

^b NATIONAL CHUNG HSING UNIVERSITY   (Taiwan)

^c UNIVERSIDAD COMPLUTENSE DE MADRID   (Spain)

^d UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

Author keywords

Daily capital charges; Endogenous violations; Frequency of violations; Optimizing strategy; Risk forecasts; Value at risk

Indexed keywords

FORECASTING; RISK ASSESSMENT; RISK PERCEPTION;

BASEL II; CAPITAL REQUIREMENTS; DAILY CAPITAL CHARGE; DECISION RULES; ENDOGENOUS VIOLATION; FREQUENCY OF VIOLATION; OPTIMIZING STRATEGY; RISK ESTIMATES; RISK FORECASTS; VALUE AT RISK;

VALUE ENGINEERING;

EID: 84888334963     PISSN: 02776693     EISSN: 1099131X     Source Type: Journal    
DOI: 10.1002/for.1167     Document Type: Article

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