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%3A86090774" target="_blank" >RIV/61989100:27510/14:86090774 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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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 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.

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 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.

Druh

D - Stať ve sborníku

CEP obor

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OECD FORD obor

50206 - Finance

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)

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název statě ve sborníku

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

Počet stran výsledku

6

Strana od-do

1039-1044

Název nakladatele

Palacký University

Místo vydání

Olomouc

Místo konání akce

Olomouc

Datum konání akce

10. 9. 2014

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000356417900178