• Graduate program
    • Why Tinbergen Institute?
    • Program Structure
    • Courses
    • Course Registration
    • Facilities
    • Admissions
    • Recent PhD Placements
  • Research
  • News
  • Events
    • Summer School
      • Behavioral Macro and Complexity
      • Econometrics and Data Science Methods for Business and Economics and Finance
      • Experimenting with Communication – A Hands-on Summer School
      • Inequalities in Health and Healthcare
      • Introduction in Genome-Wide Data Analysis
      • Research on Productivity, Trade, and Growth
      • Summer School Business Data Science Program
    • Events Calendar
    • Tinbergen Institute Lectures
    • Annual Tinbergen Institute Conference
    • Events Archive
  • Summer School
  • Alumni
  • Times

09-039/4 - Has the Basel II Accord Encouraged Risk Management during the 2008-09 Financial Crisis?


  • Authors
    Michael McAleer, Erasmus University Rotterdam, The Netherlands; National Chung Hsing University, Taiwan; Juan-Angel Jimenez-Martin, Complutense University of Madrid, Spain; Teodosio Pérez-Amaral, Complutense University of Madrid, Spain
  • Publication date
    April 21, 2009
  • Keywords
    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
  • JEL
    G32, G11, G17, C53, C22