Perez-Amaral, T.

model capital charges capital volatility strategy basel basel ii accord garch mcaleer violation egarch forecast management return charge risk management strategy accord future variance number volatility models market forecasting index period figure table risk management strategies vix futures crisis alternative value-at-risk shock value var forecasts density risk management penalty journal distribution parameter estimate combination basel committee paper time t approach month &p index requirement section riskmetric supremum forecast var banking basel accord condition price market risk effect series error january forecasting var option result university student-t banking supervision measure supervision violation penalties march capital requirements kernel var forecast vix futures prices 9 indices economics complutense university function