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13-010/III - Has the Basel Accord Improved Risk Management During the Global Financial Crisis?

  • Authors
    Michael McAleer, Erasmus University Rotterdam; Juan-Ángel Jiménez-Martín, Complutense University of Madrid; Teodosio Pérez-Amaral, Complutense University of Madrid
  • Publication date
    January 8, 2013
  • Keywords
    Value-at-Risk (VaR), daily capital charges, violation penalties, optimizing strategy, risk forecasts, aggressive or conservative risk management strategies, Basel Accord, global financial crisis
  • JEL
    G32, G11, G17, C53, C22