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