Market risk management in a post-Basel II regulatory environment

DOI10.1016/J.EJOR.2016.08.034MaRDI QIDQ1752906zbMATH OpenOpenAlexFDO

Authors Mikica Drenovak, Vladimir Ranković, Miloš Ivanović, Ranko Jelic, Branko Urosevic

Publication date 24 May 2018

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL http://sro.sussex.ac.uk/id/eprint/63060/1/__smbhome.uscs.susx.ac.uk_qlfd7_Desktop_EJOR_Jelic.pdf

zbMATH Keywords

financeGARCHNSGA-IImarket riskBasel 2.5

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Approximation methods and heuristics in mathematical programming (90C59) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Recommendations

• Optimizing credit risk mitigation effects of collaterals under Basel II
• Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach
• Risk-return optimization of the bank portfolio
• Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to Default Risk Charge
• An optimal investment strategy in bank management

Cites work

• Applications of Multi-Objective Evolutionary Algorithms
• Computing the nearest correlation matrix--a problem from finance
• Elements of financial risk management.
• Generalized autoregressive conditional heteroscedasticity
• Mean-univariate GARCH VaR portfolio optimization: actual portfolio approach
• Portfolio optimization with an envelope-based multi-objective evolutionary algorithm
• Search Methodologies

Cited in

(4)

• A general framework for pricing Asian options under stochastic volatility on parallel architectures
• Optimizing credit risk mitigation effects of collaterals under Basel II
• Bayesian value-at-risk backtesting: the case of annuity pricing
• Managing and Measuring Risk

Describes a project that uses

Uses Software

• Rugarch
• R

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