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