TY  - RPRT
AU  - McAleer, Michael
AU  - Jiménez Martín, Juan Ángel
AU  - Pérez Amaral, Teodosio
PY  - 2010
UR  - https://hdl.handle.net/20.500.14352/48938
AB  - A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR...
LA  - spa
A3  - Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico
KW  - Value-at-Risk (VaR)
KW  - Daily capital charges
KW  - Robust forecasts
KW  - Violation penalties
KW  - Optimizing strategy
KW  - Aggressive risk management strategy
KW  - Conservative risk management strategy
KW  - Basel II Accord
KW  - Global financial crisis.
TI  - GFC-Robust Risk Management Strategies under the Basel Accord
TY  - technical report
VL  - 2010
ER  -