Abstract
The Basel amendment imposed several rules whose one is the daily calculation of a capital charge to cover the market risks, for instance. This calculus is linked with the VaR estimate and led the financial institutions to develop their internal model. This rule need to develop methods to estimate F X every day in order to compute (3.3.1) and (3.3.2) introduced in Chap. 3. Indeed, assuming the invariance of the distribution for an asset along the whole period under study is not reasonable. Since the basic properties of financial assets are not the same in stable periods and during crisis, a model created in stable periods may not be of much guidance in time of crisis.
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References
Box, George EP and Jenkins, Gwilym M. 1976. “Time Series Analysis: forecasting and control, rev. edn”. Holder-Day, San Francisco, CA, USA.
Brockwell, Peter J and Davis, Richard A and Calder, Matthew V. 2002. “Introduction to time series and forecasting”. Springer, New York.
Hamilton, James Douglas. 1994. “Time Series Analysis”. Princeton university press Princeton, NJ.
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Guégan, D., Hassani, B.K. (2019). Linear Dynamics. In: Risk Measurement. Springer, Cham. https://doi.org/10.1007/978-3-030-02680-6_6
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DOI: https://doi.org/10.1007/978-3-030-02680-6_6
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