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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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  1. Basel Committee on Banking Supervision (1988), International Convergence of Capital Measurement and Capital Standards, BIS, Basel, Switzerland.
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  2. Basel Committee on Banking Supervision (1995), An Internal Model-Based Approach to Market Risk Capital Requirements, BIS, Basel, Switzerland.
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  3. 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.
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  4. Berkowitz, J. and J. O’Brien (2002), How Accurate are Value-at-Risk Models at Commercial Banks?, Journal of Finance, 57, 1093-1112.

  5. Berkowitz, J. P.F. Christoffersen and D Pelletier (2006), Evaluating Value-at-Risk models with desk level data, Working Paper. McGill University Jiménez-Martín, J.-A., M. McAleer and T. Pérez-Amaral (2009), The Ten Commandments for managing value-at-risk under the Basel II Accord, Journal of Economic Surveys, 23, 850-855.

  6. da Veiga, B., F. Chan and M. McAleer (2008), Evaluating the impact of market reforms on value-at-risk forecasts of Chinese A and B share, Pacific Basin Finance Journal, 16, 453-475.

  7. Jorion, P. (2000), Value at Risk: The New Benchmark for Managing Financial Risk, McGraw-Hill, New York.
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  8. Lucas, A (2001), An evaluation of the Basel guidelines for backtesting banks’ internal risk management models, Journal of Money, Credit and Banking, 33, 826–846.

  9. McAleer, M. (2009), The Ten Commandments for optimizing value-at-risk and daily capital charges, Journal of Economic Surveys, 23, 831-849.

  10. 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.

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

  12. McAleer, M., J.-. Jiménez-Martin and T. Pérez-Amaral (2009a), A decision rule to minimize daily capital charges in forecasting value-at-risk, to appear in Journal of Forecasting (Available at SSRN: http://ssrn.com/abstract=1349844).

  13. McAleer, M., J.-. Jiménez-Martin and T. Pérez-Amaral (2009b), Has the Basel II Accord encouraged risk management during the 2008-09 financial crisis?, (Available at SSRN http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1397239).

  14. Perignon, C., Z.Y. Deng, and Z.J. Wang (2008), Do banks overstate their value-at-risk?, Journal of Banking and Finance, 32,783-794.

  15. RiskmetricsTM (1996), J.P. Morgan Technical Document, 4th Edition, New York, J.P. Morgan.
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