TY  - RPRT
AU  - Santos, Paulo Araújo
AU  - Jiménez-Martín, Juan-Ángel
AU  - McAleer, Michael
AU  - Pérez-Amaral, Teodosio
PY  - 2011
UR  - https://hdl.handle.net/20.500.14352/49021
AB  - In McAleer et al. (2010b), a robust risk management strategy to the Global Financial Crisis (GFC) was proposed under the Basel II Accord by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust...
LA  - eng
KW  - Value-at-Risk (VaR)
KW  - DPOT
KW  - daily capital charges
KW  - Robust forecasts
KW  - Violation penalties
KW  - Optimizing strategy
KW  - Aggressive risk management
KW  - Conservative riskmanagement
KW  - Basel
KW  - Global financial crisis.
TI  - GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies
TY  - technical report
VL  - 2011
ER  -