{"created":"2021-03-01T07:01:55.905220+00:00","id":42090,"links":{},"metadata":{"_buckets":{"deposit":"d4b5d5e5-9657-4c93-be62-016ddc828905"},"_deposit":{"id":"42090","owners":[],"pid":{"revision_id":0,"type":"depid","value":"42090"},"status":"published"},"_oai":{"id":"oai:repository.dl.itc.u-tokyo.ac.jp:00042090","sets":["62:7433:7434","9:7435:7436"]},"item_8_biblio_info_7":{"attribute_name":"書誌情報","attribute_value_mlt":[{"bibliographicIssueDates":{"bibliographicIssueDate":"2009-09","bibliographicIssueDateType":"Issued"},"bibliographicVolumeNumber":"CIRJE-F-667","bibliographic_titles":[{"bibliographic_title":"Discussion paper series. CIRJE-F"}]}]},"item_8_description_13":{"attribute_name":"フォーマット","attribute_value_mlt":[{"subitem_description":"application/pdf","subitem_description_type":"Other"}]},"item_8_description_5":{"attribute_name":"抄録","attribute_value_mlt":[{"subitem_description":"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.","subitem_description_type":"Abstract"}]},"item_8_description_6":{"attribute_name":"内容記述","attribute_value_mlt":[{"subitem_description":"本文フィルはリンク先を参照のこと","subitem_description_type":"Other"}]},"item_8_publisher_20":{"attribute_name":"出版者","attribute_value_mlt":[{"subitem_publisher":"日本経済国際共同センター"}]},"item_8_relation_25":{"attribute_name":"関係URI","attribute_value_mlt":[{"subitem_relation_type_id":{"subitem_relation_type_id_text":"http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf667ab.html","subitem_relation_type_select":"URI"}}]},"item_8_source_id_10":{"attribute_name":"書誌レコードID","attribute_value_mlt":[{"subitem_source_identifier":"AA11450569","subitem_source_identifier_type":"NCID"}]},"item_8_subject_15":{"attribute_name":"日本十進分類法","attribute_value_mlt":[{"subitem_subject":"335","subitem_subject_scheme":"NDC"}]},"item_8_text_21":{"attribute_name":"出版者別名","attribute_value_mlt":[{"subitem_text_value":"Center for International Research on the Japanese Economy"}]},"item_8_text_4":{"attribute_name":"著者所属","attribute_value_mlt":[{"subitem_text_value":"Econometric Institute Erasmus School of Economics Erasmus University Rotterdam"},{"subitem_text_value":"Tinbergen Institute The Netherlands"},{"subitem_text_value":"Center for International Research on the Japanese Economy (CIRJE) Faculty of Economics University of Tokyo"},{"subitem_text_value":"Department of Quantitative Economics Complutense University of Madrid"},{"subitem_text_value":"Department of Quantitative Economics Complutense University of Madrid"}]},"item_access_right":{"attribute_name":"アクセス権","attribute_value_mlt":[{"subitem_access_right":"metadata only access","subitem_access_right_uri":"http://purl.org/coar/access_right/c_14cb"}]},"item_creator":{"attribute_name":"著者","attribute_type":"creator","attribute_value_mlt":[{"creatorNames":[{"creatorName":"McAleer, Michael"}],"nameIdentifiers":[{"nameIdentifier":"96860","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Jimenez-Martin, Juan-Angel"}],"nameIdentifiers":[{"nameIdentifier":"96861","nameIdentifierScheme":"WEKO"}]},{"creatorNames":[{"creatorName":"Teodosio, P?rez-Amaral"}],"nameIdentifiers":[{"nameIdentifier":"96862","nameIdentifierScheme":"WEKO"}]}]},"item_keyword":{"attribute_name":"キーワード","attribute_value_mlt":[{"subitem_subject":"Optimal risk management","subitem_subject_scheme":"Other"},{"subitem_subject":"average daily capital requirements","subitem_subject_scheme":"Other"},{"subitem_subject":"alternative risk","subitem_subject_scheme":"Other"},{"subitem_subject":"strategies","subitem_subject_scheme":"Other"},{"subitem_subject":"value-at-risk forecasts","subitem_subject_scheme":"Other"},{"subitem_subject":"combining risk models","subitem_subject_scheme":"Other"},{"subitem_subject":"JEL Classifications: G32, G11, G17, C53, C22","subitem_subject_scheme":"Other"}]},"item_language":{"attribute_name":"言語","attribute_value_mlt":[{"subitem_language":"eng"}]},"item_resource_type":{"attribute_name":"資源タイプ","attribute_value_mlt":[{"resourcetype":"technical report","resourceuri":"http://purl.org/coar/resource_type/c_18gh"}]},"item_title":"Optimal Risk Management Before, During and After the 2008-09 Financial Crisis","item_titles":{"attribute_name":"タイトル","attribute_value_mlt":[{"subitem_title":"Optimal Risk Management Before, During and After the 2008-09 Financial Crisis"}]},"item_type_id":"8","owner":"1","path":["7436","7434"],"pubdate":{"attribute_name":"公開日","attribute_value":"2013-05-31"},"publish_date":"2013-05-31","publish_status":"0","recid":"42090","relation_version_is_last":true,"title":["Optimal Risk Management Before, During and After the 2008-09 Financial Crisis"],"weko_creator_id":"1","weko_shared_id":null},"updated":"2022-12-19T04:17:22.569997+00:00"}