Expected Shortfall Reliability—Added Value of Traditional Statistics and Advanced Artificial Intelligence for Market Risk Measurement Purposes
The Fundamental Review of the Trading Book is a market risk measurement and management regulation recently issued by the Basel Committee. This reform, often referred to as “Basel IV”, intends to strengthen the financial system. The newest capital standard relies on the use of the Expected Shortfall....
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-09-01
|
| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/9/17/2142 |