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...

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Detalles Bibliográficos
Autores: Jiménez Martín, Juan Ángel, McAleer, Michael, Pérez Amaral, Teodosio
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
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oai_identifier_str oai:docta.ucm.es:20.500.14352/49259
network_acronym_str ES
network_name_str España
repository_id_str
spelling The Ten Commandments for Managing Value-at-Risk Under the Basel II AccordJiménez Martín, Juan ÁngelMcAleer, MichaelPérez Amaral, TeodosioG32G11G17Financial portfoliosDaily capital ChargesFrequency of violationsMagnitude of violationsOptimizing strategyRisk forecastsValue-at-riskGreen zoneRed zone.FinanzasContabilidad (Economía)5303 Contabilidad EconómicaUnder 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.Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis EconómicoUniversidad Complutense de Madrid20092009-01-0120092009-01-01technical reporthttp://purl.org/coar/resource_type/c_18ghinfo:eu-repo/semantics/reportapplication/pdfhttps://hdl.handle.net/20.500.14352/49259reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Inglésengopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/492592026-06-02T12:44:21Z
dc.title.none.fl_str_mv The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord
title The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord
spellingShingle The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord
Jiménez Martín, Juan Ángel
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
title_short The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord
title_full The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord
title_fullStr The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord
title_full_unstemmed The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord
title_sort The Ten Commandments for Managing Value-at-Risk Under the Basel II Accord
dc.creator.none.fl_str_mv Jiménez Martín, Juan Ángel
McAleer, Michael
Pérez Amaral, Teodosio
author Jiménez Martín, Juan Ángel
author_facet Jiménez Martín, Juan Ángel
McAleer, Michael
Pérez Amaral, Teodosio
author_role author
author2 McAleer, Michael
Pérez Amaral, Teodosio
author2_role author
author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv 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
topic 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
description 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.
publishDate 2009
dc.date.none.fl_str_mv 2009
2009-01-01
2009
2009-01-01
dc.type.none.fl_str_mv technical report
http://purl.org/coar/resource_type/c_18gh
dc.type.openaire.fl_str_mv info:eu-repo/semantics/report
format report
dc.identifier.none.fl_str_mv https://hdl.handle.net/20.500.14352/49259
url https://hdl.handle.net/20.500.14352/49259
dc.language.none.fl_str_mv Inglés
eng
language_invalid_str_mv Inglés
language eng
dc.rights.none.fl_str_mv open access
http://purl.org/coar/access_right/c_abf2
dc.rights.openaire.fl_str_mv info:eu-repo/semantics/openAccess
rights_invalid_str_mv open access
http://purl.org/coar/access_right/c_abf2
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico
publisher.none.fl_str_mv Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico
dc.source.none.fl_str_mv reponame:Docta Complutense
instname:Universidad Complutense de Madrid (UCM)
instname_str Universidad Complutense de Madrid (UCM)
reponame_str Docta Complutense
collection Docta Complutense
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869406582912057344
score 15,811543

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