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What Happened to Risk Management During the 2008-09 Financial Crisis?. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
In: CIRJE F-Series.
RePEc:tky:fseres:2009cf636.

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Cited: 3

Citations received by this document

Cites: 9

References cited by this document

Cocites: 46

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Forecasting Value-at-Risk using nonlinear regression quantiles and the intra-day range. (2012). McAleer, Michael ; Chen, Cathy W. S. ; Chen, Cathy W. S., ; Gerlach, Richard ; Hwang, Bruce B. K., .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:28:y:2012:i:3:p:557-574.

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  2. Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intraday Range. (2011). McAleer, Michael ; Chen, Cathy W. S. ; Chen, C. W. S., ; Gerlach, R. ; Hwang, B. B. K., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:23795.

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  3. It Pays to Violate: How Effective are the Basel Accord Penalties?. (2009). McAleer, Michael ; da Veiga, Bernardo ; Chan, Felix.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf186.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Basel Committee on Banking Supervision, (1996), Supervisory Framework for the Use of “Backtesting” in Conjunction with the Internal Model-Based Approach to Market Risk Capital Requirements, BIS, Basel, Switzerland.
    Paper not yet in RePEc: Add citation now
  2. Basel Committee on Banking Supervision, (2009), Proposed enhancements to the Basel II framework, Consultative Document, BIS, Basel, Switzerland. (http://www.bis.org/publ/bcbs150.pdf?noframes=1) Caporin, M. and M. McAleer (2009), The Ten Commandments for managing investments, to appear in Journal of Economic Surveys (Available at SSRN: http://ssrn.com/abstract=1342265).
    Paper not yet in RePEc: Add citation now

  3. Jiménez-Martín, J.-A., McAleer, M. and T. Pérez-Amaral (2009), The Ten Commandments for managing value-at-risk under the Basel II Accord, to appear in Journal of Economic Surveys (Available at SSRN: http://ssrn.com/abstract=1356803).

  4. Jorion, P. (2000), Value at Risk: The New Benchmark for Managing Financial Risk, McGraw-Hill, New York.
    Paper not yet in RePEc: Add citation now

  5. McAleer, M. (2008), The Ten Commandments for optimizing value-at-risk and daily capital charges, to appear in Journal of Economic Surveys (Available at SSRN: http://ssrn.com/abstract=1354686).

  6. McAleer, M. and B. da Veiga (2008a), Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model, Journal of Forecasting, 27, 1-19.

  7. McAleer, M. and B. da Veiga (2008b), Single index and portfolio models for forecasting value-at-risk thresholds, Journal of Forecasting, 27, 217-235.

  8. McAleer, M., J.-. Jiménez-Martin and T. Pérez-Amaral (2009a), A decision rule to minimize daily capital charges in forecasting value-at-risk, Department of Quantitative Economics, Complutense University of Madrid, Spain (Available at SSRN: http://ssrn.com/abstract=134 ).

  9. McAleer, M., J.-. Jiménez-Martin and T. Pérez-Amaral (2009b), Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis? , Department of Quantitative Economics, Complutense University of Madrid, Spain (Available at SSRN http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1397239).

Cocites

Documents in RePEc which have cited the same bibliography

  1. Editorial in Honour of Professor Michael McAleer. (2021). Wong, Wing-Keung ; Tiwari, Aviral ; Moslehpour, Massoud ; Pan, Shin Hung.
    In: Advances in Decision Sciences.
    RePEc:aag:wpaper:v:25:y:2021:i:4:p:1-14.

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  2. GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies. (2013). McAleer, Michael ; Jimenez-Martin, Juan ; Amaral, Teodosio Perez ; PerezAmaral, Teodosio ; Santos, Paulo Araujo ; AraujoSantos, Paulo .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130070.

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  3. Has the Basel Accord Improved Risk Management During the Global Financial Crisis?. (2013). McAleer, Michael ; Jimenez-Martin, Juan ; Juan-Ángel Jiménez-Martín, ; Teodosio Pérez-Amaral, .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130010.

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  4. GFC-robust risk management strategies under the Basel Accord. (2013). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:27:y:2013:i:c:p:97-111.

    Full description at Econpapers || Download paper

  5. GFC-robust risk management under the Basel Accord using extreme value methodologies. (2013). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Santos, Paulo Araujo ; AraujoSantos, Paulo .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:94:y:2013:i:c:p:223-237.

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  6. Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures. (2013). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Casarin, Roberto.
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:94:y:2013:i:c:p:183-204.

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  7. Has the Basel Accord improved risk management during the global financial crisis?. (2013). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:26:y:2013:i:c:p:250-265.

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  8. Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks. (2013). Hammoudeh, Shawkat ; Al-Hassan, Abdullah ; Santos, Paulo Araujo ; AraujoSantos, Paulo .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:25:y:2013:i:c:p:318-334.

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  9. Has the Basel Accord Improved Risk Management During the Global Financial Crisis?. (2012). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: KIER Working Papers.
    RePEc:kyo:wpaper:832.

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  10. Has the Basel Accord Improved Risk Management During the Global Financial Crisis?. (2012). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Jimenez-Martin, J-A., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:38690.

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  11. Has the Basel Accord Improved Risk Management During the Global Financial Crisis?. (2012). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Jimenez-Martin, J-A., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:37622.

    Full description at Econpapers || Download paper

  12. Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Casarin, Roberto.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1132.

    Full description at Econpapers || Download paper

  13. GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Santos, Paulo Araujo ; AraujoSantos, Paulo .
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1127.

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  14. An impure public good model with lotteries in large grou. (2011). Lugo, Haydée ; Cabrales, Antonio.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1105.

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  15. Risk Management of Precious Metals. (2011). McAleer, Michael ; Hammoudeh, Shawkat ; Malik, Farooq .
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1104.

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  16. Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1102.

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  17. International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1101.

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  18. Liquidity Risk, Credit Risk, Market Risk and Bank Capital. (2011). Varotto, Simone.
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2011-02.

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  19. Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Casarin, Roberto ; Chang, C-L., ; Jimenez-Martin, J-A., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:25614.

    Full description at Econpapers || Download paper

  20. GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Jimenez-Martin, J-A., ; Santos, P. A..
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:25610.

    Full description at Econpapers || Download paper

  21. Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Chang, C-L., ; Jimenez-Martin, J-A., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:22807.

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  22. International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Jimenez-Martin, J-A., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:22237.

    Full description at Econpapers || Download paper

  23. Liquidity risk, credit risk, market risk and bank capital. (2011). Varotto, Simone.
    In: International Journal of Managerial Finance.
    RePEc:eme:ijmfpp:v:7:y:2011:i:2:p:134-152.

    Full description at Econpapers || Download paper

  24. Risk management of precious metals. (2011). McAleer, Michael ; Hammoudeh, Shawkat ; Malik, Farooq .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:51:y:2011:i:4:p:435-441.

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  25. GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; PerezAmaral, Teodosio ; Santos, Paulo Araujo ; AraujoSantos, Paulo .
    In: Working Papers in Economics.
    RePEc:cbt:econwp:11/28.

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  26. Risk Management of Risk Under the Basel Accord: A Bayesian Approach to Forecasting Value-at-Risk of VIX Futures. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Chang, Chia-Lin ; Casarin, Roberto ; PerezAmaral, Teodosio .
    In: Working Papers in Economics.
    RePEc:cbt:econwp:11/26.

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  27. International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:11/05.

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  28. GFC-Robust Risk Management Strategies under the Basel Accord. (2010). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Juan Angel Jimenez Martin, ; JimenezMartin, Juanangel .
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1001.

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  29. GFC-Robust Risk Management Strategies under the Basel Accord. (2010). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Jimenez-Martin, J-A., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:20964.

    Full description at Econpapers || Download paper

  30. Risk management of precious metals. (2010). McAleer, Michael ; Hammoudeh, Shawkat ; Malik, F..
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:20166.

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  31. GFC-Robust Risk Management Strategies under the Basel Accord. (2010). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: Working Papers in Economics.
    RePEc:cbt:econwp:10/63.

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  32. Risk Management of Precious Metals. (2010). McAleer, Michael ; Hammoudeh, Shawkat ; Malik, Farooq .
    In: Working Papers in Economics.
    RePEc:cbt:econwp:10/37.

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  33. Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Juan Angel Jimenez Martin, ; JimenezMartin, Juanangel .
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:0918.

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  34. It Pays to Violate: How Effective are the Basel Accord Penalties?. (2009). McAleer, Michael ; da Veiga, Bernardo ; Chan, Felix.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf683.

    Full description at Econpapers || Download paper

  35. Optimal Risk Management Before, During and After the 2008-09 Financial Crisis. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf667.

    Full description at Econpapers || Download paper

  36. The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges. (2009). McAleer, Michael.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf652.

    Full description at Econpapers || Download paper

  37. Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf643.

    Full description at Econpapers || Download paper

  38. What Happened to Risk Management During the 2008-09 Financial Crisis?. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf636.

    Full description at Econpapers || Download paper

  39. Has the Basel II Accord Encouraged Risk Management during the 2008-09 Financial Crisis?. (2009). McAleer, Michael ; Jimenez-Martin, Juan ; Teodosio Pérez-Amaral, .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20090039.

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  40. Optimal Risk Management Before, During and After the 2008-09 Financial Crisis. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; PerezAmaral, Teodosio .
    In: MPRA Paper.
    RePEc:pra:mprapa:20975.

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  41. It Pays to Violate: How Effective are the Basel Accord Penalties?. (2009). McAleer, Michael ; da Veiga, Bernardo ; Chan, Felix.
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:17309.

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  42. What Happened to Risk Management During the 2008-09 Financial Crisis?. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Jimenez-Martin, J-A., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:16512.

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  43. It Pays to Violate: How Effective are the Basel Accord Penalties?. (2009). McAleer, Michael ; da Veiga, Bernardo ; Chan, Felix.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf186.

    Full description at Econpapers || Download paper

  44. Optimal Risk Management Before, During and After the 2008-09 Financial Crisis. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf171.

    Full description at Econpapers || Download paper

  45. Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf158.

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  46. THE TEN COMMANDMENTS FOR OPTIMIZING VALUE?AT?RISK AND DAILY CAPITAL CHARGES. (2009). McAleer, Michael.
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:23:y:2009:i:5:p:831-849.

    Full description at Econpapers || Download paper

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Authors registered in RePEc who have wrote about the same topic

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