Comparison of market risk models with respect to suggested changes of Basel Accord

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F14%3A86090745" target="_blank" >RIV/61989100:27510/14:86090745 - isvavai.cz</a>

Result on the web

<a href="http://dx.doi.org/10.1556/AOecon.64.2014.Suppl.18" target="_blank" >http://dx.doi.org/10.1556/AOecon.64.2014.Suppl.18</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1556/AOecon.64.2014.Suppl.18" target="_blank" >10.1556/AOecon.64.2014.Suppl.18</a>

Result language

angličtina

Original language name

Comparison of market risk models with respect to suggested changes of Basel Accord

Original language description

The market risk capital charge of financial institutions has been mostly calculated by internal models based on integrated Value at Risk (VaR) approach, since the introduction of the Amendment to Basel Accord in 1996. The internal models should fulfil several quantitative and qualitative criteria. Besides others, it is the so called backtesting procedure, which was one of the main reasons why the alternative approach to market risk estimation ? conditional Value at Risk or Expected Shortfall (ES) ? werenot applicable for the purpose of capital charge calculation. However, it is supposed that this approach will be incorporated into Basel III. In this paper we provide an extensive simulation study using various sets of market data to show potential impact of ES on capital requirements.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

Result was created during the realization of more than one project. More information in the Projects tab.

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach

Publication year

2014

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Acta Oeconomica

ISSN

0001-6373

e-ISSN

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Volume of the periodical

64

Issue of the periodical within the volume

S2

Country of publishing house

HU - HUNGARY

Number of pages

18

Pages from-to

257-274

UT code for WoS article

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EID of the result in the Scopus database

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