Has the Basel Accord Improved Risk Management During the Global Financial Crisis?

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dc.contributor.authorMcAleer, M.
dc.contributor.authorJimenez-Martin, J-A.
dc.contributor.authorPerez-Amaral, T.
dc.date.accessioned2014-12-04T03:01:38Z
dc.date.available2014-12-04T03:01:38Z
dc.date.issued2013en
dc.descriptionWORKING PAPER No. 08/2013en
dc.description.abstractThe Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of these models are used to determine capital requirements and associated capital costs of ADIs, depending in part on the number of previous violations, whereby realised losses exceed the estimated VaR. In this paper we define risk management in terms of choosing from a variety of risk models, and discuss the selection of optimal risk models. A new approach to model selection for predicting VaR is proposed, consisting of combining alternative risk models, and we compare conservative and aggressive strategies for choosing between VaR models. We then examine how different risk management strategies performed during the 2008-09 global financial crisis. These issues are illustrated using Standard and Poor?s 500 Composite Index.en
dc.identifier.citationMcAleer, M., Jimenez-Martin, J-A., Perez-Amaral, T. (2013) Has the Basel Accord Improved Risk Management During the Global Financial Crisis?..en
dc.identifier.urihttp://hdl.handle.net/10092/9986
dc.language.isoen
dc.publisherUniversity of Canterbury. Department of Economics and Financeen
dc.rights.urihttps://hdl.handle.net/10092/17651en
dc.subjectValue-at-Risk (VaR)en
dc.subjectdaily capital chargesen
dc.subjectviolation penaltiesen
dc.subjectoptimizing strategyen
dc.subjectrisk forecastsen
dc.subjectaggressive or conservative risk management strategiesen
dc.subjectBasel Accorden
dc.subjectglobal financial crisis.en
dc.subject.anzsrcField of Research::14 - Economics::1402 - Applied Economics::140210 - International Economics and International Financeen
dc.titleHas the Basel Accord Improved Risk Management During the Global Financial Crisis?en
dc.typeDiscussion / Working Papers
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