Market risk management in a post-Basel II regulatory environment

DOI10.1016/j.ejor.2016.08.034zbMath1395.91401OpenAlexW2516512346MaRDI QIDQ1752906

Miloš Ivanović, Ranko Jelic, Mikica Drenovak, Vladimir Ranković, 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

GARCHfinancemarket riskNSGA-IIBasel 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) Statistical methods; risk measures (91G70) Approximation methods and heuristics in mathematical programming (90C59) Portfolio theory (91G10)

Related Items (2)

A general framework for pricing Asian options under stochastic volatility on parallel architectures ⋮ Bayesian value-at-risk backtesting: the case of annuity pricing

Uses Software

• R
• Rugarch

Cites Work

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

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