On the Basel Liquidity Formula for Elliptical Distributions

On the Basel Liquidity Formula for Elliptical Distributions

A justification of the Basel liquidity formula for risk capital in the trading book is given under the assumption that market risk-factor changes form a Gaussian white noise process over 10-day time steps and changes to P&L (profit-and-loss) are linear in the risk-factor changes. A generaliz...

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Bibliographic Details
Main Authors: Janine Balter, Alexander J. McNeil
Format: Article
Language:English
Published: MDPI AG 2018-09-01
Series:Risks
Subjects:
Basel Accords
liquidity risk
risk measures
expected shortfall
elliptical distributions
generalized hyperbolic distributions
Online Access:http://www.mdpi.com/2227-9091/6/3/92

Internet

http://www.mdpi.com/2227-9091/6/3/92

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