TY  - RPRT
AU  - McAleer, Michael
AU  - Jiménez Martín, Juan Ángel
AU  - Pérez Amaral, Teodosio
PY  - 2009
UR  - https://hdl.handle.net/20.500.14352/49282
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...
LA  - eng
A3  - Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico
KW  - Optimal risk management
KW  - Average daily capital equirements
KW  - Alternative risk strategies
KW  - Value-at-risk forecasts
KW  - Combining risk models.
TI  - Optimal Risk Management Before, During and After the 2008-09 Financial Crisis
TY  - technical report
VL  - 2009
ER  -