Supervisor's portfolio: The market price risk of German banks from 2001 to 2004: Analysis and models for risk aggregation-Reference-Cited by-同舟云学术

Supervisor's portfolio: The market price risk of German banks from 2001 to 2004: Analysis and models for risk aggregation

Published:2006-03 Issue:3-4 Volume:7 Page:310-325
ISSN:1745-6452
Container-title:Journal of Banking Regulation
language:en
Short-container-title:J Bank Regul

Author:

Memmel Christoph,Wehn Carsten S

Publisher

Springer Science and Business Media LLC

Subject

Economics and Econometrics,Finance

Link

http://link.springer.com/content/pdf/10.1057/palgrave.jbr.2350023.pdf

Reference26 articles.

1. Engle R. F. (1982) ‘Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation’, Econometrica, Vol. 50, No. 987–1006.

2. Bollerslev T. (1986) ‘Generalized Autoregressive Conditional Heteroskedasticity’, Journal of Econometrics, Vol. 31, pp. 307–327.

3. Rinne H. and Specht K. (2002) ‘Zeitreihen: Statistische Modellierung, Schätzung und Prognose’, Vahlen Verlag, Munich.

4. BCBS (1996b) ‘Supervisory framework for the use of ‘backtesting’ in conjunction with the internal models approach to market risk capital requirements’, Basel Committee on Banking Supervision, available at: http://www.bis.org/publ/bcbs24.pdf .

5. Berkowitz J. (1999) ‘Evaluating the Forecasts of Risk Models’, Discussion paper, Federal Reserve Board.

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