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Keywords: VIX futures
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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
... the estimated VaR. The purpose of this paper is to address the question of risk management of risk, namely VaR of VIX futures prices. Design/methodology/approach The authors examine how different risk management strategies performed before, during and after the 2008‐2009 global financial crisis (GFC...
