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Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
http://hdl.handle.net/2261/26674
http://hdl.handle.net/2261/26674eb13a0a7-7411-49e3-96bc-f566459ea9b6
Item type | テクニカルレポート / Technical Report(1) | |||||
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公開日 | 2013-05-31 | |||||
タイトル | ||||||
タイトル | Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis? | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Value-at-Risk (VaR) | |||||
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 | exogenous and endogenous violations | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | violation penalties | |||||
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 | aggressive or conservative risk management strategies | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Basel II Accord | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | financial crisis | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | JEL Classifications: G32, G11, G17, C53, C22. | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
資源タイプ | 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 | ||||||
値 | Econometric Institute Erasmus School of Economics Erasmus University Rotterdam | |||||
著者所属 | ||||||
値 | Tinbergen Institute The Netherlands | |||||
著者所属 | ||||||
値 | Center for International Research on the Japanese Economy (CIRJE) Faculty of Economics University of Tokyo | |||||
著者所属 | ||||||
値 | Department of Quantitative Economics | |||||
著者所属 | ||||||
値 | Complutense University of Madrid | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of these models are used to determine capital requirements and associated capital costs of ADIs, depending in part on the number of previous violations, whereby realised losses exceed the estimated VaR. In this paper we define risk management in terms of choosing sensibly from a variety of risk models, discuss the selection of optimal risk models, consider combining alternative risk models, discuss the choice between a conservative and aggressive risk management strategy, and evaluate the effects of the Basel II Accord on risk management. We also examine how risk management strategies performed during the 2008-09 financial crisis, evaluate how the financial crisis affected risk management practices, forecasting VaR and daily capital charges, and discuss alternative policy recommendations, especially in light of the financial crisis. These issues are illustrated using Standard and Poor’s 500 Index, with an emphasis on how risk management practices were monitored and encouraged by the Basel II Accord regulations during the financial crisis. | |||||
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-643, 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 | ||||||
値 | 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/2009/2009cf643ab.html |