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A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk
http://hdl.handle.net/2261/26673
http://hdl.handle.net/2261/2667355b43508-b94e-4fcb-9127-3036f2b94606
| 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 | A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Daily capital charges | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | endogenous violations | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | frequency of violations | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | optimizing strategy | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | risk forecasts | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | value-at-risk | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | JEL Classifications: G32, G11, G17, C53. | |||||
| 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, Pérez-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 | Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) have to communicate their daily risk estimates to the monetary authorities at the beginning of the trading day, using a variety of Value-at-Risk (VaR) models to measure risk. Sometimes the risk estimates communicated using these models are too high, thereby leading to large capital requirements and high capital costs. At other times, the risk estimates are too low, leading to excessive violations, so that realised losses are above the estimated risk. In this paper we analyze the profit maximizing problem of an ADI subject to capital requirements under the Basel II Accord as ADI?s have to choose an optimal VaR reporting strategy that minimizes daily capital charges. Accordingly, we suggest a dynamic communication and forecasting strategy that responds to violations in a discrete and instantaneous manner, while adapting more slowly in periods of no violations. We apply the proposed strategy to Standard & Poor?s 500 Index and show there can be substantial savings in daily capital charges, while restricting the number of violations to within the Basel II penalty limits. | |||||
| 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-644, 発行日 2009-08 |
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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/2009/2009cf644ab.html | |||||
