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Keywords: Optimizing strategy
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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
...‐at‐risk (VaR) Daily capital charges Violation penalties Optimizing strategy Basel II Accord VIX futures Volatility derivatives have attracted much attention over the past years since they enable trading and hedging against changes in volatility. In 1993, the Chicago Board Options Exchange...
