Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

Basel sign in to follow this
combining models sign in to follow this
multiple regimes sign in to follow this
Categories:

VaR Methods sign in to follow this
--Evaluation/Comparison sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
Optimal Risk Management Before, During and After the 2008-09 Financial Crisis
Year Of Publication: 2010
Month Of Publication: October
Pages: 29
Download Count: 14
View Count: 1657
Comment Num: 0
Language: English
Who Can Read: Free
Date: 5-31-2010
Publisher: Administrator
Summary
A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that maintaining the same risk management strategies before, during and after a financial crisis would lead to comparatively low daily capital charges and violation penalties. The new method is illustrated by using the S&P500 index before, during and after the 2008-09 global financial crisis. We investigate the performance of a variety of single and combined VaR forecasts in terms of daily capital requirements and violation penalties under the Basel II Accord, as well as other criteria. The median VaR risk management strategy is GFC-robust as it provides stable results across different periods relative to other VaR forecasting models. The new strategy based on combined forecasts of single models is straightforward to incorporate into existing computer software packages that are used by banks and other financial institutions.
Author(s)
McAleer, Michael Sign in to follow this author
Jimenez-Martin, Juan-Angel Sign in to follow this author
Pérez-Amaral, Teodosio Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile