RT Report
T1 Optimal Risk Management Before, During and After the 2008-09 Financial Crisis
A1 McAleer, Michael
A1 Jiménez Martín, Juan Ángel
A1 Pérez Amaral, Teodosio
AB In this paper we advance the idea that optimal risk management under the Basel II Accord will typically require the use of a combination of different models of risk. This idea is illustrated by analyzing the best empirical models of risk for five stock indexes before, during,and after the 2008-09 financial crisis. The data used are the Dow Jones Industrial Average, Financial Times Stock Exchange 100, Nikkei, Hang Seng and Standard and Poor’s 500 Composite Index. The primary goal of the exercise is to identify the best models for risk management in each period according to the minimization of average daily capital requirements under the Basel II Accord. It is found that the best risk models can and do vary before, during and after the 2008-09 financial crisis. Moreover, it is found that an aggressive risk management strategy, namely the supremum strategy that combines different models of risk, can result in significant gains in average daily capital requirements, relative to the strategy of using single models, while staying within the limits of the Basel II Accord.
PB Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico
YR 2009
FD 2009
LK https://hdl.handle.net/20.500.14352/49282
UL https://hdl.handle.net/20.500.14352/49282
LA eng
NO Australian Research Council and National Science Council, Taiwan
NO Secretaría de Estado de Universidades de España
NO Universidad Complutense de Madrid
DS Docta Complutense
RD 4 abr 2025