13-070/III - GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies

• Authors
  Juan-Angel Jimenez-Martin, Complutense University of Madrid, Spain; Michael McAleer, Complutense University of Madrid, Spain, Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands, and Kyoto University, Japan; Teodosio Perez Amaral, Complutense University of Madrid, Spain; Paulo Araujo Santos, University of Lisbon, Portugal
• Publication date
  May 21, 2013

• Keywords
  Value-at-Risk (VaR), DPOT, daily capital charges, robust forecasts, violation penalties, optimizing strategy, aggressive risk management, conservative risk management, Basel, global financial crisis
• JEL
  G32, G11, G17, C53, C22