Risk management of risk under the Basel Accord: A Bayesian approach to forecasting Value-at-Risk of VIX futures.
Roberto CasarinChia-Lin ChangJuan-Angel Jimenez-MartinMichael McAleerTeodosio Pérez-AmaralPublished in: Math. Comput. Simul. (2013)
Keyphrases
- risk management
- operational risk
- risk assessment
- risk evaluation
- risk analysis
- decision support system
- portfolio optimization
- risk factors
- commercial banks
- financial markets
- risk measures
- information security management
- project management
- financial services
- investment decisions
- artificial intelligence
- databases
- credit risk
- management system
- multi agent systems
- decision making