A word of caution on calculating market-based minimum capital risk requirements
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References listed on IDEAS
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- Tsai, Ming-Shann & Chen, Lien-Chuan, 2011. "The calculation of capital requirement using Extreme Value Theory," Economic Modelling, Elsevier, vol. 28(1), pages 390-395.
- DAVID G. McMILLAN & ALAN E. H. SPEIGHT, 2007. "Value-at-Risk in Emerging Equity Markets: Comparative Evidence for Symmetric, Asymmetric, and Long-Memory GARCH Models," International Review of Finance, International Review of Finance Ltd., vol. 7(1-2), pages 1-19.
- Guillermo Benavides, 2010. "Forecasting Short-Run Inflation Volatility using Futures Prices: An Empirical Analysis from a Value at Risk Perspective," Working Papers 2010-12, Banco de México.
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- Chris Brooks & Gita Persand & Andrew D. Clare, 2000. "An EVT Approach to calculating Risk Capital Requirements," ICMA Centre Discussion Papers in Finance icma-dp2000-07, Henley Business School, Reading University.
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- Guillermo Benavides, 2010. "Forecasting Short-Run Inflation Volatility using Futures Prices: An Empirical Analysis from a Value at Risk Perspective," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 4(2), pages 1-27.
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- Grané, Aurea & Veiga, Helena, 2010. "Outliers in Garch models and the estimation of risk measures," DES - Working Papers. Statistics and Econometrics. WS ws100502, Universidad Carlos III de Madrid. Departamento de Estadística.
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