TY  - RPRT
AU  - McAleer, Michael
AU  - Jiménez Martín, Juan Ángel
AU  - Pérez Amaral, Teodosio
PY  - 2009
UR  - https://hdl.handle.net/20.500.14352/56702
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...
LA  - eng
KW  - Risk management
KW  - Violations
KW  - Aggressive risk strategy
KW  - Conservative risk strategy
KW  - Value-at-risk forecasts.
TI  - What Happened to Risk Management During the 2008-09 Financial Crisis?
TY  - technical report
VL  - 2009
ER  -