2026-06-29T07:50:30Zhttps://docta.ucm.es/rest/oai/requestoai:docta.ucm.es:20.500.14352/492592025-02-13T13:28:14Zcom_20.500.14352_14col_20.500.14352_17
The Ten Commandments for Managing Value-at-Risk
Under the Basel II Accord
Jiménez Martín, Juan Ángel
McAleer, Michael
Pérez Amaral, Teodosio
G32
G11
G17
Financial portfolios
Daily capital Charges
Frequency of
violations
Magnitude of violations
Optimizing strategy
Risk forecasts
Value-at-risk
Green zone
Red zone.
Finanzas
Contabilidad (Economía)
5303 Contabilidad Económica
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.
Secretaría de Estado de Universidades de España
Universidad Complutense de Madrid
Australian Research Council
Fac. de Ciencias Económicas y Empresariales
Instituto Complutense de Análisis Económico (ICAE)
TRUE
pub
2023-06-20T09:17:45Z
2023-06-20T09:17:45Z
2009
technical report
https://hdl.handle.net/20.500.14352/49259
XXXX-XXXX
eng
Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
SEJ206-14354
UCM-940063
ECO2008-06091/ECON.
open access
application/pdf
Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico