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%3A86090774" target="_blank" >RIV/61989100:27510/14:86090774 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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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 is mostly calculated by internal models based on integrated Value at Risk (VaR) approach since introduction of the Amendment to Basel Accord in 1996. The internal models should fulfil several quantitative and qualitative criteria. Besides others, it is a so called backtesting procedure, which was one of the main reasons while alternative approach to market risk estimation - conditional Value at Risk or Expected Shortfall (ES) - were not 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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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)

Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
Mathematical Methods in Economics, MME 2014 : 32nd international conference : September 10-12, 2014, Olomouc, Czech Republic : conference proceedings
ISBN
978-80-244-4209-9
ISSN
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e-ISSN
neuvedeno
Number of pages
6
Pages from-to
1039-1044
Publisher name
Palacký University
Place of publication
Olomouc
Event location
Olomouc
Event date
Sep 10, 2014
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000356417900178

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