A look at the Robustness of Value at Risk (VaR)forecasts under the Basel Accord.
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Topic: A look at the Robustness of Value at Risk (VaR)forecasts under the Basel Accord.
Format: MLA
Deadline: 9/21/2012
Description: To investigate the the performance of a variety of single and combined VaR forecasts in terms of daily capital requirements and violation penalties under the Basel III Accord, as well as other criteria. In choosing this topic I would like to apply the same techniques and methodology as that of MaAleer (Please see paper attached) within the Basel III Framework McAleer, M., Juan-Angel, J.M., Teodosio, P.A. (2011) International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord Hubbert, S. (2012) Essential Mathematics for Market Risk Management Alexander, C. (2008a) Market Risk Analysis Basel Committee on Banking Black, F. (1976) Studies of stock market volatility changes Bollerslev, T (1986) Generalised autoregressive conditional heteroscedasticity
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