TY  - RPRT
AU  - McAleer, Michael
AU  - Jiménez Martín, Juan Ángel
AU  - Pérez Amaral, Teodosio
PY  - 2011
UR  - https://hdl.handle.net/20.500.14352/48961
AB  - A risk management strategy that is designed to be robust to the Global Financial Crisis (GFC), in the sense of selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models, was proposed in McAleer et al. (2010c). The...
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  - Robust forecasts
KW  - Violation penalties
KW  - Optimizing strategy
KW  - Aggressive risk management
KW  - Conservative risk management
KW  - Basel II Accord
KW  - Global financial crisis (GFC).
TI  - International Evidence on GFC-robust Forecasts forRisk Management under the Basel Accord
TY  - technical report
VL  - 2011
ER  -