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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

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

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název periodika

Acta Oeconomica

ISSN

0001-6373

e-ISSN

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Svazek periodika

64

Číslo periodika v rámci svazku

S2

Stát vydavatele periodika

HU - Maďarsko

Počet stran výsledku

18

Strana od-do

257-274

Kód UT WoS článku

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EID výsledku v databázi Scopus

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