English, Article, Journal or magazine article edition: Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis? Juan-Angel Jimenez-Martin; Michael McAleer; Teodosio Pérez-Amaral

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/120542
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?
Author
  • Juan-Angel Jimenez-Martin
  • Michael McAleer
  • Teodosio Pérez-Amaral
Physical Description
  • preprint
Notes
  • Value-at-Risk (VaR); daily capital charges; exogenous and endogenous violations; violation penalties; optimizing strategy; risk forecasts; aggressive or conservative risk management strategies; Basel II Accord; financial crisis
  • RePEc:dgr:uvatin:20090039
  • The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of these models are used to determine capital requirements and associated capital costs of ADIs, depending in part on the number of previous violations, whereby realised losses exceed the estimated VaR. In this paper we define risk management in terms of choosing sensibly from a variety of risk models, discuss the selection of optimal risk models, consider combining alternative risk models, discuss the choice between a conservative and aggressive risk management strategy, and evaluate the effects of the Basel II Accord on risk management. We also examine how risk management strategies performed during the 2008-09 financial crisis, evaluate how the financial crisis affected risk management practices, forecasting VaR and daily capital charges, and discuss alternative policy recommendations, especially in light of the financial crisis. These issues are illustrated using Standard and Poor’s 500 Index, with an emphasis on how risk management practices were monitored and encouraged by the Basel II Accord regulations during the financial crisis.
  • RePEc:ucm:doicae:0918
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment