Template-type: ReDIF-Paper 1.0
Author-Name: Michael McAleer
Author-Workplace-Name: Econometric Institute Erasmus University Rotterdam and Department of Applied Economics
	National Chung Hsing University Taiwan.
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: Teodosio Pérez-Amaral
Author-Workplace-Name: Dpto. de Fundamentos de Análisis Económico II, Universidad Complutense de Madrid.
Author-Workplace-Homepage: https://www.ucm.es/fundamentos-analisis-economico2
Author-Workplace-Homepage: https://www.ucm.es/icae
Title: GFC-Robust Risk Management Strategies under the Basel Accord
Abstract: A risk management strategy is proposed as being robust to the Global Financial Crisis
	(GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of
	different VaR models. The robust forecast is based on the median of the point VaR
	forecasts of a set of conditional volatility models. This risk management strategy is
	GFC-robust in the sense that maintaining the same risk management strategies before,
	during and after a financial crisis would lead to comparatively low daily capital charges
	and violation penalties. The new method is illustrated by using the S&P500 index
	before, during and after the 2008-09 global financial crisis. We investigate the
	performance of a variety of single and combined VaR forecasts in terms of daily capital
	requirements and violation penalties under the Basel II Accord, as well as other criteria.
	The median VaR risk management strategy is GFC-robust as it provides stable results
	across different periods relative to other VaR forecasting models. The new strategy
	based on combined forecasts of single models is straightforward to incorporate into
	existing computer software packages that are used by banks and other financial
	institutions.
Classification-JEL: G32, G11, G17, C53, C22.
Keywords: Value-at-Risk (VaR), daily capital charges, robust forecasts, violation penalties, optimizing strategy, 
	aggressive risk management strategy, conservative risk management strategy, Basel II Accord, global financial crisis.
Length: pages 29 
Creation-Date: 2010 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1001.txt
File-URL: https://eprints.ucm.es/id/eprint/11322/1/1001.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1001