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A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk
Company: Complutense University of Madrid
Company Url: Click here to open
Year Of Publication: 2009
Month Of Publication: February
Pages: 29
Download Count: 87
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Comment Num: 0
Language: EN
Source: working paper
Who Can Read: Free
Date: 3-29-2009
Publisher: Administrator
Summary
In this paper we propose a learning strategy that complements existing methods for calculating VaR and lowers daily capital requirements, while restricting the number of endogenous violations within the Basel II Accord penalty limits. We suggest a decision rule 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.
This document is published in Journal of Forecasting.
http://dx.doi.org/10.1002/for.1167
Author(s)
McAleer, Michael Sign in to follow this author
Jimenez, Gabriel Sign in to follow this author
Pérez-Amaral, Teodosio Sign in to follow this author
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