TY  - RPRT
AU  - Jiménez Martín, Juan Ángel
AU  - McAleer, Michael
AU  - Pérez Amaral, Teodosio
PY  - 2009
UR  - https://hdl.handle.net/20.500.14352/49259
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...
LA  - eng
A3  - Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico
KW  - Financial portfolios
KW  - Daily capital Charges
KW  - Frequency ofviolations
KW  - Magnitude of violations
KW  - Optimizing strategy
KW  - Risk forecasts
KW  - Value-at-risk
KW  - Green zone
KW  - Red zone.
TI  - The Ten Commandments for Managing Value-at-RiskUnder the Basel II Accord
TY  - technical report
VL  - 2009
ER  -