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Do banks overstate their Value-at-Risk?

Citations

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  1. McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "GFC-robust risk management strategies under the Basel Accord," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 97-111.
  2. Hammoudeh, Shawkat & Malik, Farooq & McAleer, Michael, 2011. "Risk management of precious metals," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 435-441.
  3. Casarin, Roberto & Chang, Chia-Lin & Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio, 2013. "Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 183-204.
  4. Farkas, Walter & Fringuellotti, Fulvia & Tunaru, Radu, 2020. "A cost-benefit analysis of capital requirements adjusted for model risk," Journal of Corporate Finance, Elsevier, vol. 65(C).
  5. Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011. "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics 11/12, University of Canterbury, Department of Economics and Finance.
  6. McAleer, Michael & Jimenez-Martin, Juan-Angel & Perez-Amaral, Teodosio, 2013. "Has the Basel Accord improved risk management during the global financial crisis?," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 250-265.
  7. Michael McAleer & Juan‐Ángel Jiménez‐Martín & Teodosio Pérez‐Amaral, 2013. "International Evidence on GFC‐Robust Forecasts for Risk Management under the Basel Accord," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(3), pages 267-288, April.
  8. Iulia Lupu & Ana Barbara Bobirca & Paul Gabriel Miclaus & Tudor Ciumara, 2020. "Risk Management of Companies Included in the EURO STOXX Sustainability Index. An Investors' Perception," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 22(55), pages 707-707, August.
  9. Santos, André A.P. & Nogales, Francisco J. & Ruiz, Esther & Dijk, Dick Van, 2012. "Optimal portfolios with minimum capital requirements," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 1928-1942.
  10. Sabiwalsky, Ralf, 2012. "Does Basel II pillar 3 risk exposure data help to identify risky banks?," SFB 649 Discussion Papers 2012-008, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  11. Jimenez-Martin, Juan-Angel & McAleer, Michael & Pérez-Amaral, Teodosio & Santos, Paulo Araújo, 2013. "GFC-robust risk management under the Basel Accord using extreme value methodologies," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 223-237.
  12. Mohamed Doukali & Xiaojun Song & Abderrahim Taamouti, 2024. "Value‐at‐Risk under Measurement Error," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(3), pages 690-713, June.
  13. Chang, Chia-Lin & Jiménez-Martín, Juan-Ángel & Maasoumi, Esfandiar & Pérez-Amaral, Teodosio, 2015. "A stochastic dominance approach to financial risk management strategies," Journal of Econometrics, Elsevier, vol. 187(2), pages 472-485.
  14. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2013. "Financial Risk Measurement for Financial Risk Management," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1127-1220, Elsevier.
  15. Frésard, Laurent & Pérignon, Christophe & Wilhelmsson, Anders, 2011. "The pernicious effects of contaminated data in risk management," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2569-2583, October.
  16. Pedro E. Cadenas & Henryk Gzyl & Hyun Woong Park, 2021. "How dark is the dark side of diversification?," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 22(1), pages 44-55, May.
  17. O’Brien, James & Szerszeń, Paweł J., 2017. "An evaluation of bank measures for market risk before, during and after the financial crisis," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 215-234.
  18. Rangga Handika & Rangga Handika & Sigit Triandaru, 2016. "Is the Best Generalized Autoregressive Conditional Heteroskedasticity(p,q) Value-at-risk Estimate also the Best in Reality? An Evidence from Australian Interconnected Power Markets," International Journal of Energy Economics and Policy, Econjournals, vol. 6(4), pages 814-821.
  19. Anthony Wood & Angela Kellman, 2013. "Risk Management Practices by Barbadian Banks," International Journal of Business and Social Research, LAR Center Press, vol. 3(5), pages 22-33, May.
  20. Francq, Christian & Zakoïan, Jean-Michel, 2020. "Virtual Historical Simulation for estimating the conditional VaR of large portfolios," Journal of Econometrics, Elsevier, vol. 217(2), pages 356-380.
  21. Pérignon, Christophe & Smith, Daniel R., 2010. "The level and quality of Value-at-Risk disclosure by commercial banks," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 362-377, February.
  22. Ole-Kristian Hope & Danqi Hu & Hai Lu, 2016. "The benefits of specific risk-factor disclosures," Review of Accounting Studies, Springer, vol. 21(4), pages 1005-1045, December.
  23. Katherine Uylangco & Siqiwen Li, 2016. "An evaluation of the effectiveness of Value-at-Risk (VaR) models for Australian banks under Basel III," Australian Journal of Management, Australian School of Business, vol. 41(4), pages 699-718, November.
  24. Pérignon, Christophe & Smith, Daniel R., 2010. "Diversification and Value-at-Risk," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 55-66, January.
  25. Michele Leonardo Bianchi, 2023. "Assessing and forecasting the market risk of bank securities holdings: a data-driven approach," Risk Management, Palgrave Macmillan, vol. 25(4), pages 1-23, December.
  26. repec:hum:wpaper:sfb649dp2012-008 is not listed on IDEAS
  27. Wentao Hu, 2019. "SlideVaR: a risk measure with variable risk attitudes," Papers 1907.11855, arXiv.org.
  28. James M. O'Brien & Pawel J. Szerszen, 2014. "An Evaluation of Bank VaR Measures for Market Risk During and Before the Financial Crisis," Finance and Economics Discussion Series 2014-21, Board of Governors of the Federal Reserve System (U.S.).
  29. Fries, Christian P. & Nigbur, Tobias & Seeger, Norman, 2017. "Displaced relative changes in historical simulation: Application to risk measures of interest rates with phases of negative rates," Journal of Empirical Finance, Elsevier, vol. 42(C), pages 175-198.
  30. Guettler, Andre & Naeem, Mahvish & Norden, Lars & Van Doornik, Bernardus, 2024. "Pre-publication revisions of bank financial statements: A novel way to monitor banks?," Journal of Financial Intermediation, Elsevier, vol. 58(C).
  31. Yam Wing Siu, 2020. "Impact of Expected Shortfall Approach on Capital Requirement Under Basel," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(04), pages 1-34, January.
  32. Bernardo da Veiga & Felix Chan & Michael McAleer, 2009. "It Pays to Violate: How Effective are the Basel Accord Penalties?," CIRJE F-Series CIRJE-F-683, CIRJE, Faculty of Economics, University of Tokyo.
  33. Hood, Matthew & Malik, Farooq, 2018. "Estimating downside risk in stock returns under structural breaks," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 102-112.
  34. Filippo Curti & Marco Migueis, 2016. "Predicting Operational Loss Exposure Using Past Losses," Finance and Economics Discussion Series 2016-2, Board of Governors of the Federal Reserve System (U.S.).
  35. Chang, Chia-Lin & González-Serrano, Lydia & Jimenez-Martin, Juan-Angel, 2013. "Currency hedging strategies using dynamic multivariate GARCH," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 164-182.
  36. Righi, Marcelo Brutti & Ceretta, Paulo Sergio, 2015. "A comparison of Expected Shortfall estimation models," Journal of Economics and Business, Elsevier, vol. 78(C), pages 14-47.
  37. Baolei Qi & Mohamed Marie & Ahmed S. Abdelwahed & Ibrahim N. Khatatbeh & Mohamed Omran & Abdallah A. S. Fayad, 2023. "Bank Risk Literature (1978–2022): A Bibliometric Analysis and Research Front Mapping," Sustainability, MDPI, vol. 15(5), pages 1-27, March.
  38. Georges Tsafack & James Cataldo, 2021. "Backtesting and estimation error: value-at-risk overviolation rate," Empirical Economics, Springer, vol. 61(3), pages 1351-1396, September.
  39. Angus Campbell & Daniel R. Smith, 2022. "An empirical investigation of the quality of value‐at‐risk disclosure in Australia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 62(1), pages 469-491, March.
  40. Jan Jurczyk & Alexander Eckrot & Ingo Morgenstern, 2016. "Quantifying Systemic Risk by Solutions of the Mean-Variance Risk Model," PLOS ONE, Public Library of Science, vol. 11(6), pages 1-12, June.
  41. James Cataldo, 2015. "A framework for assessing comprehensive income risk exposure over varying time horizons," Review of Quantitative Finance and Accounting, Springer, vol. 45(4), pages 819-844, November.
  42. Antonio Díaz & Gonzalo García-Donato & Andrés Mora-Valencia, 2017. "Risk quantification in turmoil markets," Risk Management, Palgrave Macmillan, vol. 19(3), pages 202-224, August.
  43. Liu, Wei & Semeyutin, Artur & Lau, Chi Keung Marco & Gozgor, Giray, 2020. "Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models," Research in International Business and Finance, Elsevier, vol. 54(C).
  44. Calmès, Christian & Théoret, Raymond, 2010. "The impact of off-balance-sheet activities on banks returns: An application of the ARCH-M to Canadian data," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1719-1728, July.
  45. Mahmoud Haddad & Sam Hakim, 2014. "Using Risk Disclosures of Lage GCC Bank to Evaluate Information Content," Working Papers 863, Economic Research Forum, revised Nov 2014.
  46. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
  47. Lugo, Haydée, 2011. "An impure public good model with lotteries in large groups," CEPR Discussion Papers 8319, C.E.P.R. Discussion Papers.
  48. IORGULESCU Filip, 2012. "The Stylized Facts Of Asset Returns And Their Impact On Value-At-Risk Models," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 0(4), pages 360-368.
  49. Piccoli, Pedro, 2022. "Valuating consumer credit portfolios," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 3(3).
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