Template-type: ReDIF-Paper 1.0
Author-Name: Juan-Ángel Jiménez-Martín
Author-Email: juanangel@ccee.ucm.es
Author-Homepage: https://www.ucm.es/fundamentos-analisis-economico2/jajm
Author-Person: pji27 
Author-Workplace-Name: Departamento de Economía Cuantitativa (Department of Quantitative Economics), Facultad de Ciencias Económicas y Empresariales 
	(Faculty of Economics and Business), Universidad Complutense de Madrid
Author-Workplace-Homepage: https://www.ucm.es/fundamentos-analisis-economico2
Author-Workplace-Homepage: https://www.ucm.es/icae
Author-Name: Michael McAleer
Author-Workplace-Name: Econometric Institute Erasmus University Rotterdam and Department of Applied Economics
	National Chung Hsing University Taiwan
Author-Name: Teodosio Pérez-Amaral
Author-Workplace-Name: Dpto. de Fundamentos de Análisis Económico II, Universidad Complutense
Author-Workplace-Homepage: https://www.ucm.es/fundamentos-analisis-economico2
Author-Workplace-Homepage: https://www.ucm.es/icae
Title: Optimal Risk Management Before, During and After the 2008-09 Financial Crisis
Abstract: In this paper we advance the idea that optimal risk management under the Basel II Accord 
	will typically require the use of a combination of different models of risk. This idea is 
	illustrated by analyzing the best empirical models of risk for five stock indexes before, 
	during,and after the 2008-09 financial crisis. The data used are the Dow Jones Industrial 
	Average, Financial Times Stock Exchange 100, Nikkei, Hang Seng and Standard and Poor’s 500 
	Composite Index. The primary goal of the exercise is to identify the best models for risk 
	management in each period according to the minimization of average daily capital requirements 
	under the Basel II Accord. It is found that the best risk models can and do vary before, during 
	and after the 2008-09 financial crisis. Moreover, it is found that an aggressive risk management 
	strategy, namely the supremum strategy that combines different models of risk, can result in 
	significant gains in average daily capital requirements, relative to the strategy of using single 
	models, while staying within the limits of the Basel II Accord.
Classification-JEL: G32, G11, G17, C53, C22.
Keywords: Optimal risk management, average daily capital requirements, alternative risk
	strategies, value-at-risk forecasts, combining risk models.
Length: 18 pages
Creation-Date: 2009
Number: 2009-20
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae0920.txt
File-URL: https://eprints.ucm.es/id/eprint/9478/1/0920.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:0920