TY  - RPRT
AU  - Chang, Chia-Lin
AU  - Jiménez Martín, Juan Ángel
AU  - McAleer, Michael
AU  - Pérez Amaral, Teodosio
PY  - 2011
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/48967
AB  - The 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...
LA  - eng
A3  - Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid
KW  - Median strategy
KW  - Value-at-Risk (VaR)
KW  - daily capital charges
KW  - violation penalties
KW  - optimizing strategy
KW  - aggressive risk management
KW  - conservative riskmanagement
KW  - Basel II Accord
KW  - VIX futures
KW  - global financial crisis (GFC).
TI  - Risk Management of Risk under the Basel Accord:Forecasting Value-at-Risk of VIX Futures
TY  - technical report
VL  - 2011
ER  -