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The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges · Study

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PreprintThe Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges

Michael J. McAleer2009

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Preprintgreen2009

The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges

Michael J. McAleer

21 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk Management in Financial Firms

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References

1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 2002Dynamic Conditional Correlation 1995Multivariate Simultaneous Generalized ARCH 1993A long memory property of stock market returns and a new model 2000Value At Risk: The New Benchmark for Managing Financial Risk 2004CAViaR 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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2011It pays to violate: how effective are the Basel accord penalties in encouraging risk management?2009Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan 2009A Decision Rule to Minimize Daily Capital Charges in Forecasting Value-at-Risk

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2009THE TEN COMMANDMENTS FOR OPTIMIZING VALUE‐AT‐RISK AND DAILY CAPITAL CHARGESarticle · 30 shared references 2011Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCHpreprint · 15 shared references 2005AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITYarticle · 13 shared references 2009Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatilityarticle · 13 shared references 2009Modelling and forecasting daily international mass tourism to Peruarticle · 13 shared references 2012Currency hedging strategies using dynamic multivariate GARCHarticle · 13 shared references

Details

Year2009

Typepreprint

Published2009-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations21

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.1354686

openalex_workW2113618773

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