TY  - RPRT
AU  - McAleer, Michael
AU  - Jiménez Martín, Juan Ángel
AU  - Pérez Amaral, Teodosio
PY  - 2009
UR  - https://hdl.handle.net/20.500.14352/49253
AB  - Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading day, using a variety of Value-at-Risk (VaR) models to...
LA  - eng
A3  - Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)
KW  - Daily capital charges
KW  - Endogenous violations
KW  - Frequency of violations
KW  - Optimizing strategy
KW  - Risk forecasts
KW  - Value-at-risk.
TI  - A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk
TY  - technical report
VL  - 2009
ER  -