THE TEN COMMANDMENTS FOR MANAGING VALUE AT RISK UNDER THE BASEL II ACCORD
Under the Basel II Accord, banks and other authorized deposit‐taking institutions are required to communicate their daily market risk estimates to the relevant national monetary authority at the beginning of each trading day, using one of a variety of value‐at‐risk (VaR) models to measure risk. The...
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| Veröffentlicht in: | Journal of economic surveys 2009-12, Vol.23 (5), p.850-855 |
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| container_title | Journal of economic surveys |
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| creator | Jiménez-Martín, Juan-Ángel McAleer, Michael Pérez-Amaral, Teodosio |
| description | Under the Basel II Accord, banks and other authorized deposit‐taking institutions are required to communicate their daily market risk estimates to the relevant national monetary authority at the beginning of each trading day, using one of a variety of value‐at‐risk (VaR) models to measure risk. The purpose of this paper is to provide a simple explanation and a set of prescriptions for managing VaR under the Basel II Accord. The commandments deal with understanding the Basel II colours, understanding the risk model before choosing, varying the choice of risk model, avoiding the green zone and being willing to violate, incurring large violations, stopping before the red zone, avoiding frequent violations, avoiding the estimation of large portfolios, aggregating portfolios into a single index and interpreting commandments sensibly as guidelines. |
| doi_str_mv | 10.1111/j.1467-6419.2009.00590.x |
| format | Article |
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The commandments deal with understanding the Basel II colours, understanding the risk model before choosing, varying the choice of risk model, avoiding the green zone and being willing to violate, incurring large violations, stopping before the red zone, avoiding frequent violations, avoiding the estimation of large portfolios, aggregating portfolios into a single index and interpreting commandments sensibly as guidelines.</description><identifier>ISSN: 0950-0804</identifier><identifier>EISSN: 1467-6419</identifier><identifier>DOI: 10.1111/j.1467-6419.2009.00590.x</identifier><language>eng</language><publisher>Oxford, UK: Blackwell Publishing Ltd</publisher><subject>Bank regulation ; Banking industry ; Corporate finance ; Daily capital charges ; Financial management ; Financial portfolios ; Frequency of violations ; Green zone ; Magnitude of violations ; Optimizing strategy ; Portfolio management ; Red zone ; Risk forecasts ; Risk management ; Studies ; Value at risk ; Violations</subject><ispartof>Journal of economic surveys, 2009-12, Vol.23 (5), p.850-855</ispartof><rights>2009 Blackwell Publishing Ltd</rights><rights>Journal compilation © 2009 Blackwell Publishing Ltd</rights><lds50>peer_reviewed</lds50><oa>free_for_read</oa><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c5220-3345f8b01db0849f86768ceb96b49bbf13c519712bbd1b43bf06c30eaba04beb3</citedby><cites>FETCH-LOGICAL-c5220-3345f8b01db0849f86768ceb96b49bbf13c519712bbd1b43bf06c30eaba04beb3</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://onlinelibrary.wiley.com/doi/pdf/10.1111%2Fj.1467-6419.2009.00590.x$$EPDF$$P50$$Gwiley$$H</linktopdf><linktohtml>$$Uhttps://onlinelibrary.wiley.com/doi/full/10.1111%2Fj.1467-6419.2009.00590.x$$EHTML$$P50$$Gwiley$$H</linktohtml><link.rule.ids>314,780,784,1417,27924,27925,45574,45575</link.rule.ids></links><search><creatorcontrib>Jiménez-Martín, Juan-Ángel</creatorcontrib><creatorcontrib>McAleer, Michael</creatorcontrib><creatorcontrib>Pérez-Amaral, Teodosio</creatorcontrib><title>THE TEN COMMANDMENTS FOR MANAGING VALUE AT RISK UNDER THE BASEL II ACCORD</title><title>Journal of economic surveys</title><description>Under the Basel II Accord, banks and other authorized deposit‐taking institutions are required to communicate their daily market risk estimates to the relevant national monetary authority at the beginning of each trading day, using one of a variety of value‐at‐risk (VaR) models to measure risk. 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| ispartof | Journal of economic surveys, 2009-12, Vol.23 (5), p.850-855 |
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| language | eng |
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| source | EBSCOhost Business Source Complete; Access via Wiley Online Library |
| subjects | Bank regulation Banking industry Corporate finance Daily capital charges Financial management Financial portfolios Frequency of violations Green zone Magnitude of violations Optimizing strategy Portfolio management Red zone Risk forecasts Risk management Studies Value at risk Violations |
| title | THE TEN COMMANDMENTS FOR MANAGING VALUE AT RISK UNDER THE BASEL II ACCORD |
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