Now showing items 1-2 of 2

    • GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies 

      Santos, P.S.; Jiménez-Martín, J.; Michael McAleer, M.; Amaral, T. (College of Business and EconomicsUniversity of Canterbury. Department of Economics and Finance, 2011)
      In McAleer et al. (2010b), a robust risk management strategy to the Global Financial Crisis (GFC) was proposed under the Basel II Accord by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different ...
    • Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures 

      Casarin, R.; Chang, C.L.; Jiménez-Martín, J.; McAleer, M.; Pérez-Amara, T. (College of Business and EconomicsUniversity of Canterbury. Department of Economics and Finance, 2011)
      It is well known that the Basel II Accord requires banks and other Authorized Deposit-taking Institutions (ADIs) to communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each ...