Jimenez-Martin, J-A.

model capital charges capital volatility strategy basel basel ii accord mcaleer garch violation forecast egarch charge management return risk management strategy accord number variance future market forecasting index volatility models period figure risk management strategies table crisis alternative shock value-at-risk value vix futures density penalty var forecasts journal risk management parameter basel committee estimate distribution paper combination &p index approach time t requirement section month basel accord banking riskmetric market risk effect condition supremum series error forecast var january forecasting var banking supervision university price supervision result student-t measure economics complutense university committee option 2008-09 alternative risk models march violation penalties risk models increase kernel