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What Happened to Risk Management During the 2008-09 Financial Crisis?
http://hdl.handle.net/2261/26681
http://hdl.handle.net/2261/2668149ee3b3b-c69e-413b-ac96-62931115bf0f
| 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 | What Happened to Risk Management During the 2008-09 Financial Crisis? | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | Risk management | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | violations | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | aggressive risk strategy | |||||
| キーワード | ||||||
| 主題Scheme | Other | |||||
| 主題 | conservative risk strategy | |||||
| 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 | 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× Juan-Angel, Jimenez-Martin and 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 Complutense University of Madrid | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | When dealing with market risk under the Basel II Accord, variation pays in the form of lower capital requirements and higher profits. Typically, GARCH type models are chosen to forecast Value-at-Risk (VaR) using a single risk model. In this paper we illustrate two useful variations to the standard mechanism for choosing forecasts, namely: (i) combining different forecast models for each period, such as a daily model that forecasts the supremum or infinum value for the VaR; (ii) alternatively, select a single model to forecast VaR, and then modify the daily forecast, depending on the recent history of violations under the Basel II Accord. We illustrate these points using the Standard and Poor’s 500 Composite Index. In many cases we find significant decreases in the capital requirements, while incurring a number of violations that stays within the Basel II Accord 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-636, 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/2009/2009cf636ab.html | |||||
