Evaluation of Basel III revision of quantitative standards for implementation of internal models for market risk

Evaluation of Basel III revision of quantitative standards for implementation of internal models for market risk

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This paper studies revisions under Basel III for market risk which allow conservative combination of short and long period Value-at-Risks (VaRs). This is the first study that examines this issue. The performance of the combination method is evaluated through regulatory back tests, unconditional and...

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Bibliographic Details
Main Author: Meera Sharma
Format: Article
Language:English
Published: Elsevier 2012-12-01
Series:IIMB Management Review
Subjects:
Basel III
Conditional coverage
Historical simulation
Unconditional coverage
Value-at-risk
Online Access:http://www.sciencedirect.com/science/article/pii/S0970389612000778

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http://www.sciencedirect.com/science/article/pii/S0970389612000778

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