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    • 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 ...