{"id":"https://openalex.org/W2148096508","doi":"https://doi.org/10.1002/for.842","title":"Market risk management of banks: implications from the accuracy of Value\u2010at\u2010Risk forecasts","display_name":"Market risk management of banks: implications from the accuracy of Value\u2010at\u2010Risk forecasts","publication_year":2002,"publication_date":"2002-11-20","ids":{"openalex":"https://openalex.org/W2148096508","doi":"https://doi.org/10.1002/for.842","mag":"2148096508"},"language":"en","primary_location":{"id":"doi:10.1002/for.842","doi":"https://doi.org/10.1002/for.842","is_oa":false,"landing_page_url":"https://doi.org/10.1002/for.842","pdf_url":null,"source":{"id":"https://openalex.org/S122161766","display_name":"Journal of Forecasting","issn_l":"0277-6693","issn":["0277-6693","1099-131X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","ki-jl-1","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Forecasting","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5101733946","display_name":"Michael C. S. Wong","orcid":"https://orcid.org/0000-0001-5489-7528","observed_orcids":["https://orcid.org/0000-0001-5489-7528"]},"institutions":[{"id":"https://openalex.org/I168719708","display_name":"City University of Hong Kong","ror":"https://ror.org/03q8dnn23","country_code":"HK","type":"education","lineage":["https://openalex.org/I168719708"]}],"countries":["HK"],"is_corresponding":true,"raw_author_name":"Michael Chak Sham Wong","raw_affiliation_strings":["Department of Economics and Finance, City University of Hong Kong, Hong Kong"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics and Finance, City University of Hong Kong, Hong Kong","institution_ids":["https://openalex.org/I168719708"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5069472790","display_name":"Wai Yan Cheng","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I168719708","display_name":"City University of Hong Kong","ror":"https://ror.org/03q8dnn23","country_code":"HK","type":"education","lineage":["https://openalex.org/I168719708"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Wai Yan Cheng","raw_affiliation_strings":["Department of Economics and Finance, City University of Hong Kong, Hong Kong"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics and Finance, City University of Hong Kong, Hong Kong","institution_ids":["https://openalex.org/I168719708"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5045038500","display_name":"Clement Yuk Pang Wong","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I168719708","display_name":"City University of Hong Kong","ror":"https://ror.org/03q8dnn23","country_code":"HK","type":"education","lineage":["https://openalex.org/I168719708"]}],"countries":["HK"],"is_corresponding":false,"raw_author_name":"Clement Yuk Pang Wong","raw_affiliation_strings":["Department of Economics and Finance, City University of Hong Kong, Hong Kong"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economics and Finance, City University of Hong Kong, Hong Kong","institution_ids":["https://openalex.org/I168719708"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5101733946"],"corresponding_institution_ids":["https://openalex.org/I168719708"],"apc_list":{"value":3400,"currency":"USD","value_usd":3400},"apc_paid":null,"fwci":4.2539,"has_fulltext":false,"cited_by_count":34,"citation_normalized_percentile":{"value":0.94828357,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":88,"max":97},"biblio":{"volume":"22","issue":"1","first_page":"23","last_page":"33"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11918","display_name":"Forecasting Techniques and Applications","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/value-at-risk","display_name":"value at risk","score":0.824999988079071},{"id":"https://openalex.org/keywords/var-backtesting","display_name":"VaR backtesting","score":0.8679999709129333},{"id":"https://openalex.org/keywords/volatility-forecasting","display_name":"volatility forecasting","score":0.7870000004768372},{"id":"https://openalex.org/keywords/arch-models","display_name":"ARCH models","score":0.9539999961853027},{"id":"https://openalex.org/keywords/garch-models","display_name":"GARCH models","score":1.0},{"id":"https://openalex.org/keywords/capital-requirements","display_name":"capital requirements","score":0.6069999933242798},{"id":"https://openalex.org/keywords/banking-regulation","display_name":"banking regulation","score":0.5400000214576721},{"id":"https://openalex.org/keywords/forecast-accuracy","display_name":"forecast accuracy","score":0.5099999904632568}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.7548227310180664},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.6936498880386353},{"id":"https://openalex.org/C23922673","wikidata":"https://www.wikidata.org/wiki/Q180752","display_name":"Autoregressive conditional heteroskedasticity","level":3,"score":0.6917328834533691},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5319079756736755},{"id":"https://openalex.org/C73858035","wikidata":"https://www.wikidata.org/wiki/Q1164550","display_name":"Market risk","level":2,"score":0.5093632936477661},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5046011209487915},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.4554937779903412},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.2290712296962738}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1002/for.842","doi":"https://doi.org/10.1002/for.842","is_oa":false,"landing_page_url":"https://doi.org/10.1002/for.842","pdf_url":null,"source":{"id":"https://openalex.org/S122161766","display_name":"Journal of Forecasting","issn_l":"0277-6693","issn":["0277-6693","1099-131X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-3","jufo-1","ki-jl-1","norway-1","poland-70","russia-white-list-2","vabb-shw"],"host_organization":"https://openalex.org/P4310320595","host_organization_name":"Wiley","host_organization_lineage":["https://openalex.org/P4310320595"],"host_organization_lineage_names":["Wiley"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Forecasting","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:jof:jforec:v:22:y:2003:i:1:p:23-33","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.1002/for.842","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:hub.hku.hk:10722/177697","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10722/177697","pdf_url":null,"source":{"id":"https://openalex.org/S4377196271","display_name":"The HKU Scholars Hub (University of Hong Kong)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I889458895","host_organization_name":"University of Hong Kong","host_organization_lineage":["https://openalex.org/I889458895"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":20,"referenced_works":["https://openalex.org/W1529202042","https://openalex.org/W1583232787","https://openalex.org/W1960367365","https://openalex.org/W1966342924","https://openalex.org/W1971905795","https://openalex.org/W1977970167","https://openalex.org/W1985165919","https://openalex.org/W2001185860","https://openalex.org/W2002020074","https://openalex.org/W2003626215","https://openalex.org/W2092729734","https://openalex.org/W2100406142","https://openalex.org/W2123656808","https://openalex.org/W2138241424","https://openalex.org/W2147317922","https://openalex.org/W2159799204","https://openalex.org/W2743725495","https://openalex.org/W3121206692","https://openalex.org/W3124324735","https://openalex.org/W6681588303"],"related_works":["https://openalex.org/W2531776071","https://openalex.org/W1512039584","https://openalex.org/W7096232190","https://openalex.org/W7097613552","https://openalex.org/W2113221079","https://openalex.org/W1479877060","https://openalex.org/W2120267455","https://openalex.org/W7036127331","https://openalex.org/W2280348871","https://openalex.org/W102697137"],"abstract_inverted_index":{"Abstract":[0],"This":[1],"paper":[2,121],"adopts":[3],"the":[4,8,13,40,43,47,53,58,90,140],"backtesting":[5,84,134],"criteria":[6,24],"of":[7,15,18,42,46,49,61,103,142],"Basle":[9,44],"Committee":[10,45],"to":[11,56,68,71,131,147,156],"compare":[12],"performance":[14],"a":[16,26,87,101,153,158],"number":[17],"simple":[19],"Value\u2010at\u2010Risk":[20],"(VaR)":[21],"models.":[22,77],"These":[23,78,136],"provide":[25,115],"new":[27],"standard":[28],"on":[29],"forecasting":[30],"accuracy.":[31],"Currently":[32],"central":[33],"banks":[34],"in":[35],"major":[36],"money":[37],"centres,":[38],"under":[39],"auspices":[41],"Bank":[48],"International":[50],"settlement,":[51],"adopt":[52],"VaR":[54,91,99,127],"system":[55],"evaluate":[57],"market":[59,160],"risk":[60],"their":[62,75,149],"supervised":[63],"banks.":[64],"Banks":[65],"are":[66],"required":[67],"report":[69],"VaRs":[70,150],"bank":[72,88],"regulators":[73],"with":[74,82],"internal":[76],"models":[79,114,128,146],"must":[80],"comply":[81],"Basle's":[83,133],"criteria.":[85,135],"If":[86],"fails":[89],"backtesting,":[92],"higher":[93],"capital":[94],"requirements":[95],"will":[96],"be":[97],"imposed.":[98],"is":[100,151],"function":[102],"volatility":[104,117],"forecasts.":[105,118],"Past":[106],"studies":[107],"mostly":[108],"conclude":[109],"that":[110,123,139],"ARCH":[111],"and":[112,125,144],"GARCH":[113],"better":[116],"However,":[119],"this":[120],"finds":[122],"ARCH\u2010":[124,143],"GARCH\u2010based":[126,145],"consistently":[129],"fail":[130],"meet":[132],"findings":[137],"suggest":[138],"use":[141],"forecast":[148],"not":[152],"reliable":[154],"way":[155],"manage":[157],"bank's":[159],"risk.":[161],"Copyright":[162],"\u00a9":[163],"2002":[164],"John":[165],"Wiley":[166],"&":[167],"Sons,":[168],"Ltd.":[169]},"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":3},{"year":2022,"cited_by_count":1},{"year":2020,"cited_by_count":3},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":3},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}