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Keywords: Basel II Accord
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Journal Articles
Risk management of risk under the Basel Accord: forecasting value‐at‐risk of VIX futures
Available to Purchase
Journal:
Managerial Finance
Managerial Finance (2011) 37 (11): 1088–1106.
Published: 27 September 2011
...Shuangzhe Liu; Milind Sathye; Chia‐lin Chang; Juan‐Ángel Jiménez‐Martín; Michael McAleer; Teodosio Pérez‐Amaral Purpose The Basel II Accord requires that banks and other authorized deposit‐taking institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities...
