It Pays to Violate: How Effective are the Basel Accord Penalties in Encouraging Risk Management?

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It Pays to Violate: How Effective are the Basel Accord Penalties in Encouraging Risk Management?

The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As cap...

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Bibliographic Details
Main Authors:	Da Veiga, Bernardo, Chan, Felix, McAleer, Michael
Format:	Journal Article
Published:	Wiley-Blackwell Publishing Asia 2012
Subjects:	Risk management GARCH Basel accord penalties Backtesting Simulations Forecasting Value-at-risk
Online Access:	http://hdl.handle.net/20.500.11937/28605

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