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THE TEN COMMANDMENTS FOR MANAGING VALUE AT RISK UNDER THE BASEL II ACCORD |
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| Authors: | Juan-Á ngel Jimé nez-Martí n,Michael McAleer,Teodosio Pé rez-Amaral |
| Affiliation: | Complutense University of Madrid; Erasmus University Rotterdam, Tinbergen Institute and National Chung Hsing University; Complutense University of Madrid |
| Abstract: | |
| Keywords: | Daily capital charges Financial portfolios Frequency of violations Green zone Magnitude of violations Optimizing strategy Red zone Risk forecasts Value at risk |