RT Report
T1 The Ten Commandments for Managing Value-at-RiskUnder the Basel II Accord
A1 Jiménez Martín, Juan Ángel
A1 McAleer, Michael
A1 Pérez Amaral, Teodosio
AB Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) are required to communicate their daily market risk estimates to the relevant national monetary authority at the beginning of each trading day, using one of a variety of Value-at-Risk (VaR) models to measure risk. The purpose of this paper is to provide a simple explanation and a set of prescriptions for managing VaR under the Basel II Accord. The commandments deal with understanding the Basel II colours, understanding the risk model before choosing, varying the choice of risk model,avoiding the green zone and being willing to violate, incurring large violations, stopping before the red zone, avoiding frequent violations, avoiding the estimation of large portfolios, aggregating portfolios into a single index, and interpreting commandments sensibly as guidelines.
PB Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico
YR 2009
FD 2009
LK https://hdl.handle.net/20.500.14352/49259
UL https://hdl.handle.net/20.500.14352/49259
LA eng
NO Secretaría de Estado de Universidades de España
NO Universidad Complutense de Madrid
NO Australian Research Council
DS Docta Complutense
RD 10 abr 2025