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Optimal Risk Management Before, During and After the 2008-09 Financial Crisis
http://hdl.handle.net/2261/26651
http://hdl.handle.net/2261/266517fecd9b6-a606-4242-9729-ff4dc51150a8
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2013-05-31 | |||||
| タイトル | ||||||
| タイトル | Optimal Risk Management Before, During and After the 2008-09 Financial Crisis | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Optimal risk management | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | average daily capital requirements | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | alternative risk | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | strategies | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | value-at-risk forecasts | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | combining risk models | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL Classifications: G32, G11, G17, C53, C22 | |||||
| 資源タイプ | ||||||
| 資源 | http://purl.org/coar/resource_type/c_18gh | |||||
| タイプ | technical report | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
McAleer, Michael
× McAleer, Michael× Jimenez-Martin, Juan-Angel× Teodosio, P?rez-Amaral |
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| 著者所属 | ||||||
| 著者所属 | Econometric Institute Erasmus School of Economics Erasmus University Rotterdam | |||||
| 著者所属 | ||||||
| 著者所属 | Tinbergen Institute The Netherlands | |||||
| 著者所属 | ||||||
| 著者所属 | Center for International Research on the Japanese Economy (CIRJE) Faculty of Economics University of Tokyo | |||||
| 著者所属 | ||||||
| 著者所属 | Department of Quantitative Economics Complutense University of Madrid | |||||
| 著者所属 | ||||||
| 著者所属 | Department of Quantitative Economics Complutense University of Madrid | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | 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. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-667, 発行日 2009-09 |
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| 書誌レコードID | ||||||
| 収録物識別子タイプ | NCID | |||||
| 収録物識別子 | AA11450569 | |||||
| フォーマット | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | application/pdf | |||||
| 日本十進分類法 | ||||||
| 主題Scheme | NDC | |||||
| 主題 | 335 | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| Center for International Research on the Japanese Economy | ||||||
| 関係URI | ||||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf667ab.html | |||||
