Optimal portfolios with minimum capital requirements
► We propose a portfolio selection approach to optimize capital requirements. ► The policy finds the optimal balance between VaR measures and VaR violations. ► We confirm empirically that the proposed approach outperform competing ones. We propose a novel approach to active risk management based on...
Saved in:
| Published in | Journal of banking & finance Vol. 36; no. 7; pp. 1928 - 1942 |
|---|---|
| Main Authors | , , , |
| Format | Journal Article |
| Language | English |
| Published |
Amsterdam
Elsevier B.V
01.07.2012
Elsevier Elsevier Sequoia S.A |
| Subjects | |
| Online Access | Get full text |
| ISSN | 0378-4266 1872-6372 |
| DOI | 10.1016/j.jbankfin.2012.03.001 |
Cover
| Abstract | ► We propose a portfolio selection approach to optimize capital requirements. ► The policy finds the optimal balance between VaR measures and VaR violations. ► We confirm empirically that the proposed approach outperform competing ones.
We propose a novel approach to active risk management based on the recent Basel II regulations to obtain optimal portfolios with minimum capital requirements. In order to avoid regulatory penalties due to an excessive number of Value-at-Risk (VaR) violations, capital requirements are minimized subject to a given number of violations over the previous trading year. Capital requirements are based on the recent Basel II amendments to account for the ‘stressed’ VaR, that is, the downside risk of the portfolio under extreme adverse market conditions. An empirical application for two portfolios involving different types of assets and alternative stress scenarios demonstrates that the proposed approach delivers an improved balance between capital requirement levels and the number of VaR exceedances. Furthermore, the risk-adjusted performance of the proposed approach is superior to that of minimum-VaR and minimum-stressed VaR portfolios. |
|---|---|
| AbstractList | We propose a novel approach to active risk management based on the recent Basel II regulations to obtain optimal portfolios with minimum capital requirements. In order to avoid regulatory penalties due to an excessive number of Value-at-Risk (VaR) violations, capital requirements are minimized subject to a given number of violations over the previous trading year. Capital requirements are based on the recent Basel II amendments to account for the 'stressed' VaR, that is, the downside risk of the portfolio under extreme adverse market conditions. An empirical application for two portfolios involving different types of assets and alternative stress scenarios demonstrates that the proposed approach delivers an improved balance between capital requirement levels and the number of VaR exceedances. Furthermore, the risk-adjusted performance of the proposed approach is superior to that of minimum-VaR and minimum-stressed VaR portfolios. [PUBLICATION ABSTRACT] ► We propose a portfolio selection approach to optimize capital requirements. ► The policy finds the optimal balance between VaR measures and VaR violations. ► We confirm empirically that the proposed approach outperform competing ones. We propose a novel approach to active risk management based on the recent Basel II regulations to obtain optimal portfolios with minimum capital requirements. In order to avoid regulatory penalties due to an excessive number of Value-at-Risk (VaR) violations, capital requirements are minimized subject to a given number of violations over the previous trading year. Capital requirements are based on the recent Basel II amendments to account for the ‘stressed’ VaR, that is, the downside risk of the portfolio under extreme adverse market conditions. An empirical application for two portfolios involving different types of assets and alternative stress scenarios demonstrates that the proposed approach delivers an improved balance between capital requirement levels and the number of VaR exceedances. Furthermore, the risk-adjusted performance of the proposed approach is superior to that of minimum-VaR and minimum-stressed VaR portfolios. We propose a novel approach to active risk management based on the recent Basel II regulations to obtain optimal portfolios with minimum capital requirements. In order to avoid regulatory penalties due to an excessive number of Value-at-Risk (VaR) violations, capital requirements are minimized subject to a given number of violations over the previous trading year. Capital requirements are based on the recent Basel II amendments to account for the 'stressed' VaR, that is, the downside risk of the portfolio under extreme adverse market conditions. An empirical application for two portfolios involving different types of assets and alternative stress scenarios demonstrates that the proposed approach delivers an improved balance between capital requirement levels and the number of VaR exceedances. Furthermore, the risk-adjusted performance of the proposed approach is superior to that of minimum-VaR and minimum-stressed VaR portfolios. All rights reserved, Elsevier |
| Author | Dijk, Dick Van Santos, André A.P. Nogales, Francisco J. Ruiz, Esther |
| Author_xml | – sequence: 1 givenname: André A.P. surname: Santos fullname: Santos, André A.P. email: andreportela@cse.ufsc.br organization: Department of Economics, Universidade Federal de Santa Catarina, Campus Universitário Reitor João David Ferreira Lima, 88040-970, Florianópolis, Santa Catarina, Brazil – sequence: 2 givenname: Francisco J. surname: Nogales fullname: Nogales, Francisco J. email: FcoJavier.Nogales@uc3m.es organization: Department of Statistics, Universidad Carlos III de Madrid, C/Madrid 126, 28903 Getafe, Madrid, Spain – sequence: 3 givenname: Esther surname: Ruiz fullname: Ruiz, Esther email: ortega@est-econ.uc3m.es organization: Department of Statistics, Universidad Carlos III de Madrid, C/Madrid 126, 28903 Getafe, Madrid, Spain – sequence: 4 givenname: Dick Van surname: Dijk fullname: Dijk, Dick Van email: djvandijk@ese.eur.nl organization: Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, P.O. Box 1738 3000 DR, Rotterdam, The Netherlands |
| BackLink | http://www.econis.eu/PPNSET?PPN=727539124$$DView this record in ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften |
| BookMark | eNqFkEtLxDAUhYMoOD7-gg64cdN6b9KmLbhQBl8guNF1yKQpprZJTVLFf29k1IUbs7mLfOdwztkj29ZZTcgRQo6A_KzP-7W0L52xOQWkObAcALfIAuuKZpxVdJssgFV1VlDOd8leCD2kVyNbkOJhimaUw3JyPnZuMC4s3018Xo7GmnEel0pOJqZ_r19n4_WobQwHZKeTQ9CH33efPF1fPa5us_uHm7vV5X2mSmhixqnCUmHFEGWBqmGyXXOVkjDVSVhjyWW9LmrNWVvyFjrNdSpUFIVCkB1VbJ-cbnwn715nHaIYTVB6GKTVbg4CIRWqSkpZQk_-oL2bvU3pEoWshoY3kKjjDaWVsyaIyafu_kNUtCpZg7RIBN8QyrsQvO5-GYQvJy568TO3-JpbABNp7iQ8_yNUabdonI1emuF_-cV3srTnm9FeBGW0VbpNo6soWmf-s_gEl6SgCA |
| CODEN | JBFIDO |
| CitedBy_id | crossref_primary_10_1016_j_intfin_2017_08_013 crossref_primary_10_1016_j_jimonfin_2021_102490 crossref_primary_10_1016_j_ejor_2016_08_034 crossref_primary_10_1002_bse_2253 crossref_primary_10_1016_j_estger_2017_02_003 crossref_primary_10_1016_j_jimonfin_2014_01_001 crossref_primary_10_1080_10920277_2014_910127 crossref_primary_10_1080_10485252_2018_1531130 crossref_primary_10_2139_ssrn_2226369 crossref_primary_10_1111_jmcb_12392 crossref_primary_10_1016_j_jbankfin_2013_01_036 crossref_primary_10_1007_s11408_024_00454_5 crossref_primary_10_2139_ssrn_2311721 crossref_primary_10_1002_isaf_1370 crossref_primary_10_2139_ssrn_2717051 crossref_primary_10_1007_s10614_014_9438_7 crossref_primary_10_1016_j_cor_2016_01_014 crossref_primary_10_1016_j_rfe_2017_06_002 crossref_primary_10_1007_s00186_018_0637_1 crossref_primary_10_1016_j_jbankfin_2013_04_021 crossref_primary_10_1080_1351847X_2013_802249 |
| Cites_doi | 10.1111/1540-6261.00455 10.2308/accr.2002.77.4.911 10.1016/j.ijforecast.2009.08.007 10.1016/S0927-5398(03)00007-0 10.1007/s10589-008-9231-4 10.1080/07474930701873333 10.1287/mnsc.1080.0986 10.1016/j.jbankfin.2005.10.002 10.1080/00031305.1983.10483087 10.2307/2297980 10.1093/rfs/hhm075 10.1111/1540-6261.00580 10.1016/j.jfi.2005.07.001 10.1016/j.jempfin.2008.03.002 10.1002/jae.842 10.1002/for.1167 10.1080/01621459.1994.10476870 10.1093/rfs/hhj002 10.1016/j.jbankfin.2007.05.014 10.1016/j.jbankfin.2009.07.003 10.1198/073500102288618487 10.1016/j.jbankfin.2007.01.019 10.1016/j.ijforecast.2009.01.007 10.2307/1392266 10.2139/ssrn.1572526 10.3905/jpm.2004.110 10.3386/w8554 10.1016/S0165-1889(01)00041-0 10.1287/mnsc.9.2.277 |
| ContentType | Journal Article |
| Copyright | 2012 Elsevier B.V. Copyright Elsevier Sequoia S.A. Jul 2012 |
| Copyright_xml | – notice: 2012 Elsevier B.V. – notice: Copyright Elsevier Sequoia S.A. Jul 2012 |
| DBID | AAYXX CITATION OQ6 8BJ FQK JBE |
| DOI | 10.1016/j.jbankfin.2012.03.001 |
| DatabaseName | CrossRef ECONIS International Bibliography of the Social Sciences (IBSS) International Bibliography of the Social Sciences International Bibliography of the Social Sciences |
| DatabaseTitle | CrossRef International Bibliography of the Social Sciences (IBSS) |
| DatabaseTitleList | International Bibliography of the Social Sciences (IBSS) International Bibliography of the Social Sciences (IBSS) |
| DeliveryMethod | fulltext_linktorsrc |
| Discipline | Business |
| EISSN | 1872-6372 |
| EndPage | 1942 |
| ExternalDocumentID | 2662374881 727539124 10_1016_j_jbankfin_2012_03_001 S0378426612000623 |
| Genre | Feature |
| GroupedDBID | --K --M -~X .L6 .~1 0R~ 186 1B1 1OL 1RT 1~. 1~5 29J 3R3 4.4 41~ 457 4G. 5GY 5VS 63O 7-5 71M 8P~ 96U 9JO AABCJ AABNK AACTN AAEDT AAEDW AAFFL AAIAV AAIKJ AAKOC AALRI AAOAW AAPFB AAQFI AAQXK AAXUO AAYOK ABFNM ABFSI ABJNI ABLJU ABMAC ABPPZ ABXDB ABYKQ ACDAQ ACGFO ACGFS ACHQT ACNCT ACRLP ACROA ADBBV ADEZE ADFHU ADHUB ADIYS ADMUD AEBSH AEKER AEYQN AFAZI AFDAS AFFNX AFKWA AFODL AFTJW AGHFR AGTHC AGUBO AGYEJ AHHHB AI. AIEXJ AIIAU AIKHN AITUG AJBFU AJOXV AJWLA ALMA_UNASSIGNED_HOLDINGS AMFUW AMRAJ ASPBG AVWKF AXJTR AXLSJ AZFZN BEHZQ BEZPJ BGSCR BKOJK BKOMP BLXMC BNTGB BPUDD BULVW BZJEE CS3 DU5 E.L EBS EFJIC EFLBG EJD EO8 EO9 EP2 EP3 FDB FEDTE FGOYB FIRID FNPLU FYGXN G-2 G-Q GBLVA HLX HMB HVGLF HZ~ IHE IXIXF J1W KOM LG8 LPU LXN LY5 M41 MO0 MS~ N9A O-L O9- OAUVE OZT P-8 P-9 PC. PQQKQ Q38 R2- RIG ROL RPZ RXW SBM SDF SDG SDP SEB SEE SES SEW SPCBC SSB SSF SSZ T5K TAE TN5 TQQ TWZ U5U UQL VH1 WUQ XSW XYO YK3 ZCA ZCG ZRQ ~G- AATTM AAXKI AAYWO AAYXX ABWVN ACRPL ACVFH ADCNI ADMHG ADNMO AEIPS AEUPX AFJKZ AFPUW AFXIZ AGCQF AGQPQ AGRNS AIGII AIIUN AKBMS AKRWK AKYEP ANKPU APXCP BNPGV CITATION SSH OQ6 8BJ EFKBS FQK JBE |
| ID | FETCH-LOGICAL-c509t-62c15c17311a41c93adb6c0373cfa0b156a8b48e63d56d0fe6e101444c10af2c3 |
| IEDL.DBID | AIKHN |
| ISSN | 0378-4266 |
| IngestDate | Thu Sep 04 23:33:51 EDT 2025 Sat Sep 06 22:31:42 EDT 2025 Sat Mar 08 16:23:45 EST 2025 Tue Jul 01 00:51:48 EDT 2025 Thu Apr 24 23:05:01 EDT 2025 Fri Feb 23 02:32:55 EST 2024 |
| IsDoiOpenAccess | false |
| IsOpenAccess | true |
| IsPeerReviewed | true |
| IsScholarly | true |
| Issue | 7 |
| Keywords | Stress testing Convex optimization G11 Out-of-sample evaluation Multivariate GARCH G32 |
| Language | English |
| License | https://www.elsevier.com/tdm/userlicense/1.0 |
| LinkModel | DirectLink |
| MergedId | FETCHMERGED-LOGICAL-c509t-62c15c17311a41c93adb6c0373cfa0b156a8b48e63d56d0fe6e101444c10af2c3 |
| Notes | SourceType-Scholarly Journals-1 ObjectType-Feature-1 content type line 14 ObjectType-Article-2 content type line 23 |
| OpenAccessLink | https://e-archivo.uc3m.es/bitstreams/51dffb8e-8905-4f8d-a910-9d61a97a587e/download |
| PQID | 1013809690 |
| PQPubID | 45371 |
| PageCount | 15 |
| ParticipantIDs | proquest_miscellaneous_1026675223 proquest_journals_1013809690 econis_primary_727539124 crossref_primary_10_1016_j_jbankfin_2012_03_001 crossref_citationtrail_10_1016_j_jbankfin_2012_03_001 elsevier_sciencedirect_doi_10_1016_j_jbankfin_2012_03_001 |
| ProviderPackageCode | CITATION AAYXX |
| PublicationCentury | 2000 |
| PublicationDate | 2012-07-01 |
| PublicationDateYYYYMMDD | 2012-07-01 |
| PublicationDate_xml | – month: 07 year: 2012 text: 2012-07-01 day: 01 |
| PublicationDecade | 2010 |
| PublicationPlace | Amsterdam |
| PublicationPlace_xml | – name: Amsterdam |
| PublicationTitle | Journal of banking & finance |
| PublicationYear | 2012 |
| Publisher | Elsevier B.V Elsevier Elsevier Sequoia S.A |
| Publisher_xml | – name: Elsevier B.V – name: Elsevier – name: Elsevier Sequoia S.A |
| References | Chib, Omori, Asai (b0060) 2009 DeMiguel, Garlappi, Nogales, Uppal (b0090) 2009; 55 DeMiguel, V., Nogales, F.J., Uppal, R., 2010. Stock Return Serial Dependence and out-of-sample portfolio performance. Working Paper, London Business School. McAleer, Amaral, Jiménez-Martin (b0180) 2010; 29 Aguilar, West (b0005) 2000; 18 Alexander, Baptista, Yan (b0020) 2007; 31 Ledoit, Wolf (b0170) 2004; 30 Barndorff-Nielsen, O., Hansen, P., Lunde, A., Shephard, N., 2008. Multivariate Realised Kernels: Consistent Positive Semi-definite Estimators of the Covariation of Equity Prices with Noise and Non-synchronous Trading. Working Paper. Ledoit, Wolf (b0165) 2003; 10 Berkowitz, O’Brien (b0045) 2002; 57 Danielsson, Zigrand (b0085) 2006; 30 Bank for International Settlements, 2006. International Convergence of Capital Measurement and Capital Standards. Basel Committee Publications, Bank For International Settlements. Jagannathan, Ma (b0155) 2003; 58 Pérignon, Deng, Wang (b0190) 2008; 32 Engle, R., Shephard, N., Sheppard, K., 2008. Fitting Vast Dimensional Time-Varying Covariance Models. Discussion Paper Series No. 403, Department of Economics, University of Oxford. Santos, A.A.P., Nogales, F., Ruiz, E., 2009. Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk. Working Paper 09-72, Department of Statistics, Universidad Carlos III de Madrid. Engle (b0120) 2002; 20 DeMiguel, Garlappi, Uppal (b0095) 2009; 22 Engle, R., Sheppard, K., 2001. Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH. NBER Working Paper No. 8554. Han (b0140) 2006; 19 Politis, Romano (b0200) 1994; 89 Bank for International Settlements, 2009. Revisions to the Basel II Market Risk Framework. Basel Committee Publications, Bank For International Settlements. Harvey, Ruiz, Shephard (b0145) 1994; 61 Diebold, Hickman, Inoue, Schuermann (b0110) 1998; 11 Pesaran, Schuermann, Smith (b0195) 2009; 25 Boyd, Vandenbergue (b0050) 2004 Committee of European Banking Supervisors, 2010. Aggregate Outcome of the 2010 EU Wide Stress Test Exercise Coordinated by CEBS in Cooperation with the ECB. Jorion (b0160) 2002 Bauwens, Laurent, Rombouts (b0040) 2006; 21 Silvennoinen, TerSsvirta (b0235) 2009 Efron, Gong (b0115) 1983; 37 Ledoit, Wolf (b0175) 2008; 15 PTrignon, Smith (b0205) 2010; 34 Christoffersen (b0065) 2009 Qi, Sun (b0210) 2010; 45 Sharpe (b0225) 1963; 9 Sheppard, K., 2003. Multi-step estimation of multivariate GARCH models. In: Proceedings of the International ICSC. Symposium: Advanced Computing in Financial Markets. . Sentana (b0220) 2003; 1 Cornuejols, Tütüncü (b0075) 2007 Cuoco, Liu (b0080) 2006; 15 Alexander (b0010) 2009 Alexander, Baptista (b0015) 2002; 26 Grant, M., Boyd, S., 2008. Cvx: Matlab Software for Disciplined Convex Programming (Web Page and Software). Carriero, Kapetanios, Marcellino (b0055) 2009; 25 De Pooter, Martens, van Dijk (b0105) 2008; 27 Hendricks, Hirtle (b0150) 1997; 3 Nocedal, Wright (b0185) 1999 Ledoit (10.1016/j.jbankfin.2012.03.001_b0165) 2003; 10 Qi (10.1016/j.jbankfin.2012.03.001_b0210) 2010; 45 Pérignon (10.1016/j.jbankfin.2012.03.001_b0190) 2008; 32 DeMiguel (10.1016/j.jbankfin.2012.03.001_b0090) 2009; 55 Engle (10.1016/j.jbankfin.2012.03.001_b0120) 2002; 20 McAleer (10.1016/j.jbankfin.2012.03.001_b0180) 2010; 29 Berkowitz (10.1016/j.jbankfin.2012.03.001_b0045) 2002; 57 10.1016/j.jbankfin.2012.03.001_b0100 10.1016/j.jbankfin.2012.03.001_b0125 Silvennoinen (10.1016/j.jbankfin.2012.03.001_b0235) 2009 10.1016/j.jbankfin.2012.03.001_b0025 Jagannathan (10.1016/j.jbankfin.2012.03.001_b0155) 2003; 58 Alexander (10.1016/j.jbankfin.2012.03.001_b0015) 2002; 26 Jorion (10.1016/j.jbankfin.2012.03.001_b0160) 2002 Ledoit (10.1016/j.jbankfin.2012.03.001_b0170) 2004; 30 Ledoit (10.1016/j.jbankfin.2012.03.001_b0175) 2008; 15 Sentana (10.1016/j.jbankfin.2012.03.001_b0220) 2003; 1 DeMiguel (10.1016/j.jbankfin.2012.03.001_b0095) 2009; 22 Nocedal (10.1016/j.jbankfin.2012.03.001_b0185) 1999 PTrignon (10.1016/j.jbankfin.2012.03.001_b0205) 2010; 34 Efron (10.1016/j.jbankfin.2012.03.001_b0115) 1983; 37 Han (10.1016/j.jbankfin.2012.03.001_b0140) 2006; 19 Danielsson (10.1016/j.jbankfin.2012.03.001_b0085) 2006; 30 De Pooter (10.1016/j.jbankfin.2012.03.001_b0105) 2008; 27 Boyd (10.1016/j.jbankfin.2012.03.001_b0050) 2004 Diebold (10.1016/j.jbankfin.2012.03.001_b0110) 1998; 11 Aguilar (10.1016/j.jbankfin.2012.03.001_b0005) 2000; 18 Cornuejols (10.1016/j.jbankfin.2012.03.001_b0075) 2007 Hendricks (10.1016/j.jbankfin.2012.03.001_b0150) 1997; 3 Carriero (10.1016/j.jbankfin.2012.03.001_b0055) 2009; 25 Cuoco (10.1016/j.jbankfin.2012.03.001_b0080) 2006; 15 10.1016/j.jbankfin.2012.03.001_b0215 Christoffersen (10.1016/j.jbankfin.2012.03.001_b0065) 2009 Pesaran (10.1016/j.jbankfin.2012.03.001_b0195) 2009; 25 Alexander (10.1016/j.jbankfin.2012.03.001_b0020) 2007; 31 10.1016/j.jbankfin.2012.03.001_b0035 Alexander (10.1016/j.jbankfin.2012.03.001_b0010) 2009 10.1016/j.jbankfin.2012.03.001_b0135 10.1016/j.jbankfin.2012.03.001_b0130 10.1016/j.jbankfin.2012.03.001_b0030 Harvey (10.1016/j.jbankfin.2012.03.001_b0145) 1994; 61 10.1016/j.jbankfin.2012.03.001_b0230 Chib (10.1016/j.jbankfin.2012.03.001_b0060) 2009 10.1016/j.jbankfin.2012.03.001_b0070 Sharpe (10.1016/j.jbankfin.2012.03.001_b0225) 1963; 9 Politis (10.1016/j.jbankfin.2012.03.001_b0200) 1994; 89 Bauwens (10.1016/j.jbankfin.2012.03.001_b0040) 2006; 21 |
| References_xml | – reference: Engle, R., Sheppard, K., 2001. Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH. NBER Working Paper No. 8554. – reference: Grant, M., Boyd, S., 2008. Cvx: Matlab Software for Disciplined Convex Programming (Web Page and Software). < – volume: 57 start-page: 1093 year: 2002 end-page: 1111 ident: b0045 article-title: How accurate are value-at-risk models at commercial banks? publication-title: Journal of Finance – volume: 58 start-page: 1651 year: 2003 end-page: 1684 ident: b0155 article-title: Risk reduction in large portfolios: why imposing the wrong constraints helps publication-title: Journal of Finance – volume: 25 start-page: 642 year: 2009 end-page: 675 ident: b0195 article-title: Forecasting economic and financial variables with global VARs publication-title: International Journal of Forecasting – volume: 61 start-page: 247 year: 1994 end-page: 264 ident: b0145 article-title: Multivariate stochastic variance models publication-title: Review of Economic Studies – reference: Committee of European Banking Supervisors, 2010. Aggregate Outcome of the 2010 EU Wide Stress Test Exercise Coordinated by CEBS in Cooperation with the ECB. – year: 2007 ident: b0075 article-title: Optimization Methods in Finance – volume: 37 start-page: 36 year: 1983 end-page: 48 ident: b0115 article-title: A leisurely look at the bootstrap, the jackknife, and cross-validation publication-title: The American Statistician – volume: 29 start-page: 617 year: 2010 end-page: 634 ident: b0180 article-title: A decision rule to minimize daily capital charges in forecasting value-at-risk publication-title: Journal of Forecasting – volume: 34 start-page: 55 year: 2010 end-page: 66 ident: b0205 article-title: Diversification and value-at-risk publication-title: Journal of Banking & Finance – volume: 26 start-page: 1159 year: 2002 end-page: 1193 ident: b0015 article-title: Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean–variance analysis publication-title: Journal of Economic Dynamics and Control – volume: 30 start-page: 2701 year: 2006 end-page: 2713 ident: b0085 article-title: On time-scaling of risk and the square-root-of-time rule publication-title: Journal of Banking and Finance – volume: 22 start-page: 1915 year: 2009 end-page: 1953 ident: b0095 article-title: Optimal versus naive diversification: how inefficient is the 1/N portfolio strategy? publication-title: Review of Financial Studies – volume: 25 start-page: 400 year: 2009 end-page: 417 ident: b0055 article-title: Forecasting exchange rates with a large Bayesian VAR publication-title: International Journal of Forecasting – reference: Sheppard, K., 2003. Multi-step estimation of multivariate GARCH models. In: Proceedings of the International ICSC. Symposium: Advanced Computing in Financial Markets. – reference: Engle, R., Shephard, N., Sheppard, K., 2008. Fitting Vast Dimensional Time-Varying Covariance Models. Discussion Paper Series No. 403, Department of Economics, University of Oxford. – volume: 11 start-page: 104 year: 1998 end-page: 107 ident: b0110 article-title: Converting 1-day volatility to h-day volatility: scaling by is worse than you think publication-title: Risk – volume: 30 start-page: 110 year: 2004 end-page: 119 ident: b0170 article-title: Honey, I shrunk the sample covariance matrix publication-title: Journal of Portfolio Management – volume: 18 start-page: 338 year: 2000 end-page: 357 ident: b0005 article-title: Bayesian dynamic factor models and portfolio allocation publication-title: Journal of Business and Economic Statistics – volume: 27 start-page: 199 year: 2008 end-page: 229 ident: b0105 article-title: Predicting the daily covariance matrix for S&P 100 stocks using intraday data—but which frequency to use? publication-title: Econometric Reviews – reference: DeMiguel, V., Nogales, F.J., Uppal, R., 2010. Stock Return Serial Dependence and out-of-sample portfolio performance. Working Paper, London Business School. – year: 2004 ident: b0050 article-title: Convex Optimization – volume: 3 start-page: 1 year: 1997 end-page: 12 ident: b0150 article-title: Bank capital requirements for market risk: the internal models approach publication-title: Economic Policy Review – year: 1999 ident: b0185 article-title: Numerical Optimization – volume: 1 start-page: 4 year: 2003 end-page: 14 ident: b0220 article-title: Mean–variance portfolio allocation with a value at risk constraint publication-title: Revista de Economfa Financiera – volume: 15 start-page: 850 year: 2008 end-page: 859 ident: b0175 article-title: Robust performance hypothesis testing with the sharpe ratio publication-title: Journal of Empirical Finance – volume: 15 start-page: 362 year: 2006 end-page: 394 ident: b0080 article-title: An analysis of VaR-based capital requirements publication-title: Journal of Financial Intermediation – volume: 55 start-page: 798 year: 2009 end-page: 812 ident: b0090 article-title: A generalized approach to portfolio optimization: improving performance by constraining portfolio norms publication-title: Management Science – volume: 89 start-page: 1303 year: 1994 end-page: 1313 ident: b0200 article-title: The stationary bootstrap publication-title: Journal of the American Statistical Association – reference: Barndorff-Nielsen, O., Hansen, P., Lunde, A., Shephard, N., 2008. Multivariate Realised Kernels: Consistent Positive Semi-definite Estimators of the Covariation of Equity Prices with Noise and Non-synchronous Trading. Working Paper. – reference: >. – start-page: 911 year: 2002 end-page: 931 ident: b0160 article-title: How informative are value-at-risk disclosures? publication-title: Accounting Review – year: 2009 ident: b0010 article-title: Market Risk Analysis: Volume IV: Value at Risk Models – volume: 21 start-page: 79 year: 2006 end-page: 109 ident: b0040 article-title: Multivariate GARCH models: a survey publication-title: Journal of Applied Econometrics – volume: 19 start-page: 237 year: 2006 end-page: 271 ident: b0140 article-title: Asset allocation with a high dimensional latent factor stochastic volatility model publication-title: Review of Financial Studies – start-page: 753 year: 2009 end-page: 766 ident: b0065 article-title: Value-at-risk models publication-title: Handbook of Financial Time Series – volume: 32 start-page: 783 year: 2008 end-page: 794 ident: b0190 article-title: Do banks overstate their value-at-risk? publication-title: Journal of Banking & Finance – reference: Santos, A.A.P., Nogales, F., Ruiz, E., 2009. Comparing Univariate and Multivariate Models to Forecast Portfolio Value-at-Risk. Working Paper 09-72, Department of Statistics, Universidad Carlos III de Madrid. – reference: Bank for International Settlements, 2006. International Convergence of Capital Measurement and Capital Standards. Basel Committee Publications, Bank For International Settlements. – start-page: 365 year: 2009 end-page: 402 ident: b0060 article-title: Multivariate stochastic volatility publication-title: Handbook of Financial Time Series – volume: 20 start-page: 339 year: 2002 end-page: 350 ident: b0120 article-title: Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models publication-title: Journal of Business & Economic Statistics – volume: 10 start-page: 603 year: 2003 end-page: 621 ident: b0165 article-title: Improved estimation of the covariance matrix of stock returns with an application to portfolio selection publication-title: Journal of Empirical Finance – volume: 31 start-page: 3761 year: 2007 end-page: 3781 ident: b0020 article-title: Mean–variance portfolio selection with value-at-risk constraints and discrete distributions publication-title: Journal of Banking and Finance – reference: Bank for International Settlements, 2009. Revisions to the Basel II Market Risk Framework. Basel Committee Publications, Bank For International Settlements. – volume: 45 start-page: 427 year: 2010 end-page: 462 ident: b0210 article-title: Correlation stress testing for value-at-risk: an unconstrained convex optimization approach publication-title: Computational Optimization and Applications – start-page: 201 year: 2009 end-page: 229 ident: b0235 article-title: Multivariate GARCH models publication-title: Handbook of Financial Time Series – volume: 9 start-page: 277 year: 1963 end-page: 293 ident: b0225 article-title: A simplified model for portfolio analysis publication-title: Management Science – volume: 57 start-page: 1093 year: 2002 ident: 10.1016/j.jbankfin.2012.03.001_b0045 article-title: How accurate are value-at-risk models at commercial banks? publication-title: Journal of Finance doi: 10.1111/1540-6261.00455 – year: 2004 ident: 10.1016/j.jbankfin.2012.03.001_b0050 – start-page: 911 year: 2002 ident: 10.1016/j.jbankfin.2012.03.001_b0160 article-title: How informative are value-at-risk disclosures? publication-title: Accounting Review doi: 10.2308/accr.2002.77.4.911 – ident: 10.1016/j.jbankfin.2012.03.001_b0070 – ident: 10.1016/j.jbankfin.2012.03.001_b0215 – volume: 25 start-page: 642 year: 2009 ident: 10.1016/j.jbankfin.2012.03.001_b0195 article-title: Forecasting economic and financial variables with global VARs publication-title: International Journal of Forecasting doi: 10.1016/j.ijforecast.2009.08.007 – volume: 10 start-page: 603 year: 2003 ident: 10.1016/j.jbankfin.2012.03.001_b0165 article-title: Improved estimation of the covariance matrix of stock returns with an application to portfolio selection publication-title: Journal of Empirical Finance doi: 10.1016/S0927-5398(03)00007-0 – volume: 45 start-page: 427 year: 2010 ident: 10.1016/j.jbankfin.2012.03.001_b0210 article-title: Correlation stress testing for value-at-risk: an unconstrained convex optimization approach publication-title: Computational Optimization and Applications doi: 10.1007/s10589-008-9231-4 – ident: 10.1016/j.jbankfin.2012.03.001_b0230 – volume: 27 start-page: 199 year: 2008 ident: 10.1016/j.jbankfin.2012.03.001_b0105 article-title: Predicting the daily covariance matrix for S&P 100 stocks using intraday data—but which frequency to use? publication-title: Econometric Reviews doi: 10.1080/07474930701873333 – volume: 55 start-page: 798 year: 2009 ident: 10.1016/j.jbankfin.2012.03.001_b0090 article-title: A generalized approach to portfolio optimization: improving performance by constraining portfolio norms publication-title: Management Science doi: 10.1287/mnsc.1080.0986 – ident: 10.1016/j.jbankfin.2012.03.001_b0030 – ident: 10.1016/j.jbankfin.2012.03.001_b0035 – volume: 30 start-page: 2701 year: 2006 ident: 10.1016/j.jbankfin.2012.03.001_b0085 article-title: On time-scaling of risk and the square-root-of-time rule publication-title: Journal of Banking and Finance doi: 10.1016/j.jbankfin.2005.10.002 – year: 2009 ident: 10.1016/j.jbankfin.2012.03.001_b0010 – volume: 37 start-page: 36 year: 1983 ident: 10.1016/j.jbankfin.2012.03.001_b0115 article-title: A leisurely look at the bootstrap, the jackknife, and cross-validation publication-title: The American Statistician doi: 10.1080/00031305.1983.10483087 – volume: 1 start-page: 4 year: 2003 ident: 10.1016/j.jbankfin.2012.03.001_b0220 article-title: Mean–variance portfolio allocation with a value at risk constraint publication-title: Revista de Economfa Financiera – volume: 61 start-page: 247 year: 1994 ident: 10.1016/j.jbankfin.2012.03.001_b0145 article-title: Multivariate stochastic variance models publication-title: Review of Economic Studies doi: 10.2307/2297980 – start-page: 365 year: 2009 ident: 10.1016/j.jbankfin.2012.03.001_b0060 article-title: Multivariate stochastic volatility – volume: 22 start-page: 1915 year: 2009 ident: 10.1016/j.jbankfin.2012.03.001_b0095 article-title: Optimal versus naive diversification: how inefficient is the 1/N portfolio strategy? publication-title: Review of Financial Studies doi: 10.1093/rfs/hhm075 – volume: 11 start-page: 104 year: 1998 ident: 10.1016/j.jbankfin.2012.03.001_b0110 article-title: Converting 1-day volatility to h-day volatility: scaling by is worse than you think publication-title: Risk – ident: 10.1016/j.jbankfin.2012.03.001_b0025 – volume: 3 start-page: 1 year: 1997 ident: 10.1016/j.jbankfin.2012.03.001_b0150 article-title: Bank capital requirements for market risk: the internal models approach publication-title: Economic Policy Review – volume: 58 start-page: 1651 year: 2003 ident: 10.1016/j.jbankfin.2012.03.001_b0155 article-title: Risk reduction in large portfolios: why imposing the wrong constraints helps publication-title: Journal of Finance doi: 10.1111/1540-6261.00580 – volume: 15 start-page: 362 year: 2006 ident: 10.1016/j.jbankfin.2012.03.001_b0080 article-title: An analysis of VaR-based capital requirements publication-title: Journal of Financial Intermediation doi: 10.1016/j.jfi.2005.07.001 – ident: 10.1016/j.jbankfin.2012.03.001_b0130 – volume: 15 start-page: 850 year: 2008 ident: 10.1016/j.jbankfin.2012.03.001_b0175 article-title: Robust performance hypothesis testing with the sharpe ratio publication-title: Journal of Empirical Finance doi: 10.1016/j.jempfin.2008.03.002 – year: 1999 ident: 10.1016/j.jbankfin.2012.03.001_b0185 – volume: 21 start-page: 79 year: 2006 ident: 10.1016/j.jbankfin.2012.03.001_b0040 article-title: Multivariate GARCH models: a survey publication-title: Journal of Applied Econometrics doi: 10.1002/jae.842 – volume: 29 start-page: 617 year: 2010 ident: 10.1016/j.jbankfin.2012.03.001_b0180 article-title: A decision rule to minimize daily capital charges in forecasting value-at-risk publication-title: Journal of Forecasting doi: 10.1002/for.1167 – volume: 89 start-page: 1303 year: 1994 ident: 10.1016/j.jbankfin.2012.03.001_b0200 article-title: The stationary bootstrap publication-title: Journal of the American Statistical Association doi: 10.1080/01621459.1994.10476870 – volume: 19 start-page: 237 year: 2006 ident: 10.1016/j.jbankfin.2012.03.001_b0140 article-title: Asset allocation with a high dimensional latent factor stochastic volatility model publication-title: Review of Financial Studies doi: 10.1093/rfs/hhj002 – volume: 32 start-page: 783 year: 2008 ident: 10.1016/j.jbankfin.2012.03.001_b0190 article-title: Do banks overstate their value-at-risk? publication-title: Journal of Banking & Finance doi: 10.1016/j.jbankfin.2007.05.014 – volume: 34 start-page: 55 year: 2010 ident: 10.1016/j.jbankfin.2012.03.001_b0205 article-title: Diversification and value-at-risk publication-title: Journal of Banking & Finance doi: 10.1016/j.jbankfin.2009.07.003 – volume: 20 start-page: 339 year: 2002 ident: 10.1016/j.jbankfin.2012.03.001_b0120 article-title: Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models publication-title: Journal of Business & Economic Statistics doi: 10.1198/073500102288618487 – volume: 31 start-page: 3761 year: 2007 ident: 10.1016/j.jbankfin.2012.03.001_b0020 article-title: Mean–variance portfolio selection with value-at-risk constraints and discrete distributions publication-title: Journal of Banking and Finance doi: 10.1016/j.jbankfin.2007.01.019 – year: 2007 ident: 10.1016/j.jbankfin.2012.03.001_b0075 – volume: 25 start-page: 400 year: 2009 ident: 10.1016/j.jbankfin.2012.03.001_b0055 article-title: Forecasting exchange rates with a large Bayesian VAR publication-title: International Journal of Forecasting doi: 10.1016/j.ijforecast.2009.01.007 – volume: 18 start-page: 338 year: 2000 ident: 10.1016/j.jbankfin.2012.03.001_b0005 article-title: Bayesian dynamic factor models and portfolio allocation publication-title: Journal of Business and Economic Statistics doi: 10.2307/1392266 – ident: 10.1016/j.jbankfin.2012.03.001_b0100 doi: 10.2139/ssrn.1572526 – volume: 30 start-page: 110 year: 2004 ident: 10.1016/j.jbankfin.2012.03.001_b0170 article-title: Honey, I shrunk the sample covariance matrix publication-title: Journal of Portfolio Management doi: 10.3905/jpm.2004.110 – ident: 10.1016/j.jbankfin.2012.03.001_b0125 doi: 10.3386/w8554 – start-page: 201 year: 2009 ident: 10.1016/j.jbankfin.2012.03.001_b0235 article-title: Multivariate GARCH models – volume: 26 start-page: 1159 year: 2002 ident: 10.1016/j.jbankfin.2012.03.001_b0015 article-title: Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean–variance analysis publication-title: Journal of Economic Dynamics and Control doi: 10.1016/S0165-1889(01)00041-0 – start-page: 753 year: 2009 ident: 10.1016/j.jbankfin.2012.03.001_b0065 article-title: Value-at-risk models – ident: 10.1016/j.jbankfin.2012.03.001_b0135 – volume: 9 start-page: 277 year: 1963 ident: 10.1016/j.jbankfin.2012.03.001_b0225 article-title: A simplified model for portfolio analysis publication-title: Management Science doi: 10.1287/mnsc.9.2.277 |
| SSID | ssj0000813 |
| Score | 2.1525023 |
| Snippet | ► We propose a portfolio selection approach to optimize capital requirements. ► The policy finds the optimal balance between VaR measures and VaR violations. ►... We propose a novel approach to active risk management based on the recent Basel II regulations to obtain optimal portfolios with minimum capital requirements.... |
| SourceID | proquest econis crossref elsevier |
| SourceType | Aggregation Database Index Database Enrichment Source Publisher |
| StartPage | 1928 |
| SubjectTerms | Basel Accords Capital Capital requirements Convex optimization Financial theory Investment Multivariate GARCH Out-of-sample evaluation Penalties Portfolio investments Portfolio management Portfolios Regulation Regulation of financial institutions Risk adjustment Risk assessment Risk management Stress testing Studies Value Value-at-Risk Violations |
| Title | Optimal portfolios with minimum capital requirements |
| URI | https://dx.doi.org/10.1016/j.jbankfin.2012.03.001 http://www.econis.eu/PPNSET?PPN=727539124 https://www.proquest.com/docview/1013809690 https://www.proquest.com/docview/1026675223 |
| Volume | 36 |
| hasFullText | 1 |
| inHoldings | 1 |
| isFullTextHit | |
| isPrint | |
| link | http://utb.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwpV3NT9swFH8qLZp2mfjY1DJAmcQ1NI7jxD4iNFRAwGFD4hbZjiOlo2lF2-v-dt5LnG7lwoFjkufEfrZ_7z3nfQCc6TIrypTj_hbChFTDOpQxs2ERu9gmSmrFKd757j6dPCY3T-KpB5ddLAy5VXrsbzG9QWt_Z-y5OV5U1fhXxDPZyJcm2iTmOzCIuUpFHwYX17eT-3-ALH2VZDSYqMF_gcLT86nR9Z-yolSodCxI-U7ZlozaJcO0Wm4Jqzew3ciiqz344pXI4KLt5z70XH0Anzof9kNIHhAIZkhBynU5f67my4AOXANKJDJbzwKrm2IhwYsjR-DmhHD5FR6vfv6-nIS-PEJoUcqvwjS2TFiWccZ0wqziujCpxVFyW-rIoGGmpUmkS3kh0iIqXeqoMG-SWBbpMrb8G_Tree2GEGQFCiprlFbOJkwzLSSaNrHUBmWcLM0IRMeQ3Prc4VTC4jnvnMSmecfInBiZR5y85UYw3rRbtNkz3m0xbPm9oUcFS3CFasgIVDcD-dYSyRH9333tcTdlud-kS6LnNE4VjeDH5jFuL_pnoms3XxMNLpgMlVR-9IHPf4fPdNW6-R5Df_WydieozKzMKeyc_2Wnfsm-Ark18hI |
| linkProvider | Elsevier |
| linkToHtml | http://utb.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwpV1Lb9QwEB6VUgGXCtqiBrYQJK7pxrGdxxFVrBboLgd2pd4s23GkLN2kanav_HZm8ljYXnroNRkn8dieb8b5PAPwWRdJXsQc17eUJqAa1kEaMRvkkYusyFKdcTrvPJvH06X4fiNvDuBqOAtDtMre9nc2vbXW_ZVxr83xXVmOf4U8SVt8aU-bRPwZPBeSJ8Tru_zzj-eBmNfVSMZwicT_Oya8ulwZXf0uSkqESpuClO2U7SHUEYWlZbMHVQ-MdotEk9dw3LuQ_pfuK9_AgatO4MXAYD8F8RPNwBolyLUu6tuybnzabvUpjch6u_atbkuF-PeOaMDt_mBzBsvJ18XVNOiLIwQWMX4TxJFl0rKEM6YFsxnXuYkt9pLbQocGwzKdGpG6mOcyzsPCxY7K8gphWaiLyPK3cFjVlTsHP8kRpqzJdOasYJppmWJgE6XaIMKlhfFADgpRts8cTgUsbtVAEVupQZGKFKlCTlw5D8a7dndd7oxHW5x3-t7Jo3sleYZOiAfZMAJqb4IotP2PPnY0DJnql2hD8pz6mYUefNrdxsVFf0x05eotyeCESdBF5e-e8PqP8HK6mF2r62_zH-_hFd3pCL8jONzcb90FujUb86Gdtn8Bwt_y3Q |
| openUrl | ctx_ver=Z39.88-2004&ctx_enc=info%3Aofi%2Fenc%3AUTF-8&rfr_id=info%3Asid%2Fsummon.serialssolutions.com&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&rft.genre=article&rft.atitle=Optimal+portfolios+with+minimum+capital+requirements&rft.jtitle=Journal+of+banking+%26+finance&rft.au=Santos%2C+Andr%C3%A9+AP&rft.au=Nogales%2C+Francisco+J&rft.au=Ruiz%2C+Esther&rft.au=Van+Dijk%2C+Dick&rft.date=2012-07-01&rft.pub=Elsevier+Sequoia+S.A&rft.issn=0378-4266&rft.eissn=1872-6372&rft.volume=36&rft.issue=7&rft.spage=1928&rft_id=info:doi/10.1016%2Fj.jbankfin.2012.03.001&rft.externalDBID=NO_FULL_TEXT&rft.externalDocID=2662374881 |
| thumbnail_l | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/lc.gif&issn=0378-4266&client=summon |
| thumbnail_m | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/mc.gif&issn=0378-4266&client=summon |
| thumbnail_s | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/sc.gif&issn=0378-4266&client=summon |