Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures-Reference-Cited by-同舟云学术

Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures

Published:2013-08 Issue: Volume:94 Page:183-204
ISSN:0378-4754
Container-title:Mathematics and Computers in Simulation
language:en
Short-container-title:Mathematics and Computers in Simulation

Author:

Casarin Roberto,Chang Chia-Lin,Jimenez-Martin Juan-Angel,McAleer Michael,Pérez-Amaral Teodosio

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Numerical Analysis,General Computer Science,Theoretical Computer Science

Reference38 articles.

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4. International Convergence of Capital Measurement and Capital Standards, A Revised Framework Comprehensive Version;Basel Committee on Banking Supervision,2006

5. J. Berkowitz, J. O’Brien, How accurate are value-at-risk models at commercial banks? Discussion Paper, Federal Reserve Board, 2001.

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