The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord
Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) are required to communicate their daily market risk estimates to the relevant national monetary authority at the beginning of each trading day, using one of a variety of Value-at-Risk (VaR) models to measure ris...
| Autores: | , , |
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| Tipo de recurso: | informe técnico |
| Fecha de publicación: | 2009 |
| País: | España |
| Institución: | Universidad Complutense de Madrid (UCM) |
| Repositorio: | Docta Complutense |
| Idioma: | inglés |
| OAI Identifier: | oai:docta.ucm.es:20.500.14352/49259 |
| Acceso en línea: | https://hdl.handle.net/20.500.14352/49259 |
| Access Level: | acceso abierto |
| Palabra clave: | G32 G11 G17 Financial portfolios Daily capital Charges Frequency of violations Magnitude of violations Optimizing strategy Risk forecasts Value-at-risk Green zone Red zone. Finanzas Contabilidad (Economía) 5303 Contabilidad Económica |
| Sumario: | Under the Basel II Accord, banks and other Authorized Deposit-taking Institutions (ADIs) are required to communicate their daily market risk estimates to the relevant national monetary authority at the beginning of each trading day, using one of a variety of Value-at-Risk (VaR) models to measure risk. The purpose of this paper is to provide a simple explanation and a set of prescriptions for managing VaR under the Basel II Accord. The commandments deal with understanding the Basel II colours, understanding the risk model before choosing, varying the choice of risk model,avoiding the green zone and being willing to violate, incurring large violations, stopping before the red zone, avoiding frequent violations, avoiding the estimation of large portfolios, aggregating portfolios into a single index, and interpreting commandments sensibly as guidelines. |
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