The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges

By Michael Mcaleer. 2009

73 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c95683a5b05a4942c6b220829b8a0943228e2f45

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. M. Nieto
2. Esther Ruiz

In Finance

1. M. Nieto
2. Esther Ruiz

Citations in the corpus

• Frontiers in VaR forecasting and backtesting (2016, background): “…of returns; see, for The Basel accords describe an standard approach to obtain VaR forecasts which is known to render VaR estimates larger than necessary, leading to excessively high capital requirements (CR); see, for example, Pérignon et al. (2008), McAleer (2009) and Pérignon and Smith (2010b).”