RT Report
T1 What Happened to Risk Management During the 2008-09 Financial Crisis?
A1 McAleer, Michael
A1 Jiménez Martín, Juan Ángel
A1 Pérez Amaral, Teodosio
AB When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital requirements and higher profits. Typically, GARCH type models are chosen to forecast Value-at-Risk (VaR) using a single risk model. In this paper we illustrate two useful variations to the standard mechanism for choosing forecasts, namely: (i) combining different forecast models for each period, such as a daily model that forecasts the supremum or infinum value for the VaR; (ii) alternatively, select a single model to forecast VaR, and then modify the daily forecast, depending on the recent history of violations under the Basel II Accord. We illustrate these points using the Standard and Poor’s 500 Composite Index. In many cases we find significant decreases in the capital requirements, while incurring a number of violations that stays within the Basel II Accord limits.
YR 2009
FD 2009
LK https://hdl.handle.net/20.500.14352/56702
UL https://hdl.handle.net/20.500.14352/56702
LA eng
NO Australian Research Council
NO Secretaría de Estado de Universidades of Spain
NO Complutense University
DS Docta Complutense
RD 15 dic 2025