The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges

For market, credit and operational risk, choose wisely from:

1. Conditional, stochastic and realized volatility.
2. Symmetry, Asymmetry and leverage.
3. Dynamic Correlations and dynamic covariances.
4. Single index and portfolio models.
5. Parametric, semiparametric and non-parametric models.
6. Estimation, simulation and calibration of parameters.
7. Assumptions, regularity conditions and statistical properties.
8. Accuracy in calculating moments and forecasts.
9. Optimizing threshold violations and economic benefits.
10. Optimizing private and public benefits of risk management.