GFC-Robust Risk Management Strategies under the Basel Accord

A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility models...

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Detalhes bibliográficos
Autores: McAleer, Michael, Jiménez Martín, Juan Ángel, Pérez Amaral, Teodosio
Formato: informe técnico
Fecha de publicación:2010
País:España
Recursos:Universidad Complutense de Madrid (UCM)
Repositorio:Docta Complutense
Idioma:español
OAI Identifier:oai:docta.ucm.es:20.500.14352/48938
Acesso em linha:https://hdl.handle.net/20.500.14352/48938
Access Level:acceso abierto
Palavra-chave:Value-at-Risk (VaR)
Daily capital charges
Robust forecasts
Violation penalties
Optimizing strategy
Aggressive risk management strategy
Conservative risk management strategy
Basel II Accord
Global financial crisis.
Finanzas
Crisis económicas
5307.06 Fluctuaciones Económicas
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oai_identifier_str oai:docta.ucm.es:20.500.14352/48938
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spelling GFC-Robust Risk Management Strategies under the Basel AccordMcAleer, MichaelJiménez Martín, Juan ÁngelPérez Amaral, TeodosioValue-at-Risk (VaR)Daily capital chargesRobust forecastsViolation penaltiesOptimizing strategyAggressive risk management strategyConservative risk management strategyBasel II AccordGlobal financial crisis.FinanzasCrisis económicas5307.06 Fluctuaciones EconómicasA risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that maintaining the same risk management strategies before, during and after a financial crisis would lead to comparatively low daily capital charges and violation penalties. The new method is illustrated by using the S&P500 index before, during and after the 2008-09 global financial crisis. We investigate the performance of a variety of single and combined VaR forecasts in terms of daily capital requirements and violation penalties under the Basel II Accord, as well as other criteria. The median VaR risk management strategy is GFC-robust as it provides stable results across different periods relative to other VaR forecasting models. The new strategy based on combined forecasts of single models is straightforward to incorporate into existing computer software packages that are used by banks and other financial institutions.Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis EconómicoUniversidad Complutense de Madrid20102010-01-0120102010-01-01technical reporthttp://purl.org/coar/resource_type/c_18ghinfo:eu-repo/semantics/reportapplication/pdfhttps://hdl.handle.net/20.500.14352/48938reponame:Docta Complutenseinstname:Universidad Complutense de Madrid (UCM)Españolspaopen accesshttp://purl.org/coar/access_right/c_abf2info:eu-repo/semantics/openAccessoai:docta.ucm.es:20.500.14352/489382026-06-02T12:44:21Z
dc.title.none.fl_str_mv GFC-Robust Risk Management Strategies under the Basel Accord
title GFC-Robust Risk Management Strategies under the Basel Accord
spellingShingle GFC-Robust Risk Management Strategies under the Basel Accord
McAleer, Michael
Value-at-Risk (VaR)
Daily capital charges
Robust forecasts
Violation penalties
Optimizing strategy
Aggressive risk management strategy
Conservative risk management strategy
Basel II Accord
Global financial crisis.
Finanzas
Crisis económicas
5307.06 Fluctuaciones Económicas
title_short GFC-Robust Risk Management Strategies under the Basel Accord
title_full GFC-Robust Risk Management Strategies under the Basel Accord
title_fullStr GFC-Robust Risk Management Strategies under the Basel Accord
title_full_unstemmed GFC-Robust Risk Management Strategies under the Basel Accord
title_sort GFC-Robust Risk Management Strategies under the Basel Accord
dc.creator.none.fl_str_mv McAleer, Michael
Jiménez Martín, Juan Ángel
Pérez Amaral, Teodosio
author McAleer, Michael
author_facet McAleer, Michael
Jiménez Martín, Juan Ángel
Pérez Amaral, Teodosio
author_role author
author2 Jiménez Martín, Juan Ángel
Pérez Amaral, Teodosio
author2_role author
author
dc.contributor.none.fl_str_mv Universidad Complutense de Madrid
dc.subject.none.fl_str_mv Value-at-Risk (VaR)
Daily capital charges
Robust forecasts
Violation penalties
Optimizing strategy
Aggressive risk management strategy
Conservative risk management strategy
Basel II Accord
Global financial crisis.
Finanzas
Crisis económicas
5307.06 Fluctuaciones Económicas
topic Value-at-Risk (VaR)
Daily capital charges
Robust forecasts
Violation penalties
Optimizing strategy
Aggressive risk management strategy
Conservative risk management strategy
Basel II Accord
Global financial crisis.
Finanzas
Crisis económicas
5307.06 Fluctuaciones Económicas
description A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that maintaining the same risk management strategies before, during and after a financial crisis would lead to comparatively low daily capital charges and violation penalties. The new method is illustrated by using the S&P500 index before, during and after the 2008-09 global financial crisis. We investigate the performance of a variety of single and combined VaR forecasts in terms of daily capital requirements and violation penalties under the Basel II Accord, as well as other criteria. The median VaR risk management strategy is GFC-robust as it provides stable results across different periods relative to other VaR forecasting models. The new strategy based on combined forecasts of single models is straightforward to incorporate into existing computer software packages that are used by banks and other financial institutions.
publishDate 2010
dc.date.none.fl_str_mv 2010
2010-01-01
2010
2010-01-01
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/20.500.14352/48938
url https://hdl.handle.net/20.500.14352/48938
dc.language.none.fl_str_mv Español
spa
language_invalid_str_mv Español
language spa
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_ 1869418268013363200
score 15,81155

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