TY  - RPRT
AU  - Casarin, Roberto
AU  - Chang, Chia-Lin
AU  - Jiménez Martín, Juan Ángel
AU  - McAleer, Michael
AU  - Pérez Amaral, Teodosio
PY  - 2011
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/49027
AB  - It is well known that the Basel II Accord requires banks and other Authorized Deposit-taking Institutions (ADIs) to communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more...
LA  - eng
KW  - Median strategy
KW  - Value-at-Risk
KW  - Daily capital charges
KW  - Violation penalties
KW  - Aggressive risk management
KW  - Conservative risk management
KW  - Basel Accord
KW  - VIX futures
KW  - Bayesian strategy
KW  - Quantiles
KW  - Forecast densities.
TI  - Risk Management of Risk Under the Basel Accord: A BayesianApproach to Forecasting Value-at-Risk of VIX Futures
TY  - technical report
VL  - 2011
ER  -