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Value-at-Risk models and Basel capital charges · Study

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ArticleValue-at-Risk models and Basel capital charges

Adrián F. Rossignolo2011

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Articlegreen2011

Value-at-Risk models and Basel capital charges

Adrián F. Rossignolo · Meryem Duygun · Mohamed Shaban

57 citations·0/0 files stored·Journal of Financial Stability

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Financial Risk and Volatility Modeling Banking stability, regulation, efficiency Risk and Portfolio Optimization

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References

1986Generalized autoregressive conditional heteroskedasticity 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1999Coherent Measures of Risk 2001An Introduction to Statistical Modeling of Extreme Values 1994Modelling of extremal events in insurance and finance 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach

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2012Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence 2012Market crises and Basel capital requirements: Could Basel III have been different? Evidence from Portugal, Ireland, Greece and Spain (PIGS)2023A Conceptual Model of Investment-Risk Prediction in the Stock Market Using Extreme Value Theory with Machine Learning: A Semisystematic Literature Review

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Details

Year2011

Typearticle

Published2011-12-08

VenueJournal of Financial Stability

ISSN-L1572-3089

Languageen

Citations57

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jfs.2011.11.003

openalex_workW1978305044

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